Efficient Monte Carlo for diffusion processes using Ornstein-Uhlenbeck bridges

DOI10.1007/978-3-319-91436-7_19MaRDI QIDQ1722530zbMATH OpenOpenAlexFDO

Authors Adam W. Kolkiewicz

Publication date 18 February 2019

Full work available at URL https://doi.org/10.1007/978-3-319-91436-7_19

zbMATH Keywords

bond pricingdimension reductionsampling Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• A piecewise deterministic Monte Carlo method for diffusion bridges
• Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Dimension reduction for quasi-Monte Carlo methods via quadratic regression

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