Brownian bridge and other path-dependent Gaussian processes vectorial simulation

DOI10.1080/03610918.2014.901352MaRDI QIDQ5860260zbMATH OpenOpenAlexWikidataFDO

Authors J. Beleza Sousa, Manuel L. Esquível, Raquel M. Gaspar

Publication date 19 November 2021

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.901352

zbMATH Keywords

Brownian bridgeGaussian processes for machine learning regressionpath-dependent Gaussian processesvectorial simulation

Mathematics Subject Classification ID

Gaussian processes (60G15) Software, source code, etc. for problems pertaining to statistics (62-04) Probabilistic models, generic numerical methods in probability and statistics (65C20) Software, source code, etc. for problems pertaining to operations research and mathematical programming (90-04)

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Cites work

• Arbitrage Theory in Continuous Time
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• Pricing American-style securities using simulation
• Smoothness and dimension reduction in quasi-Monte Carlo methods

Cited in

(2)

• \(\varepsilon\)-strong simulation of the Brownian path
• Simulation of Multivariate Diffusion Bridges

Describes a project that uses

Uses Software

• CUDA
• QuantLib
• Mathematica

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