Exact Monte Carlo simulation of killed diffusions

DOI10.1239/AAP/1208358896MaRDI QIDQ5387088zbMATH OpenOpenAlexFDO

Authors Bruno Casella, Gareth O. Roberts

Publication date 15 May 2008

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1208358896

zbMATH Keywords

algorithmdiffusionsfinanceMonte Carlo simulationnumerical exampleoption pricingstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) 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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Cites work

• A factorisation of diffusion measure and finite sample path constructions
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• Euler scheme for reflected stochastic differential equations
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
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• Exact simulation of diffusions
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
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• Pricing and Hedging Path-Dependent Options Under the CEV Process
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Cited in

(14)

• Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
• \(\varepsilon\)-strong simulation of the Brownian path
• Extended Black and Scholes model under bankruptcy risk
• Exact simulation of the first passage time through a given level of jump diffusions
• Exact simulation for the first hitting time of Brownian motion and Brownian bridge
• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• Monte Carlo simulation of killed diffusion
• Exact simulation of coupled Wright–Fisher diffusions
• Parameter identification for a stochastic logistic growth model with extinction
• Exact simulation for diffusion bridges: an adaptive approach
• Asymptotic equivalence between boundary perturbations and discrete exit times: application to simulation schemes
• Strong approximation of Bessel processes
• Exact simulation of jump-diffusion processes with Monte Carlo applications
• Bayesian parameter inference for partially observed stopped processes

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