Exact simulation of diffusions
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Abstract: We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
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Cited in
(only showing first 100 items - show all)- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Nonparametric adaptive estimation for integrated diffusions
- On exact simulation algorithms for some distributions related to Jacobi theta functions
- Exact simulation of IG-OU processes
- Systematic physics constrained parameter estimation of stochastic differential equations
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- Bayesian inference of selection in the Wright-Fisher diffusion model
- Unbiased simulation of stochastic differential equations
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- On one-dimensional Riccati diffusions
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- \(\varepsilon\)-strong simulation of the Brownian path
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- CLTs and asymptotic variance of time-sampled Markov chains
- Extended Black and Scholes model under bankruptcy risk
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- A generic construction for high order approximation schemes of semigroups using random grids
- 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
- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
- Unbiased simulation of rare events in continuous time
- On the eigenproblem for Gaussian bridges
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
- GARCH quasi-likelihood ratios for SV model and the diffusion limit
- Continuous-discrete smoothing of diffusions
- Simulated likelihood estimators for discretely observed jump-diffusions
- Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems
- Exact simulation of the first-passage time of diffusions
- Valuation and analysis of zero-coupon contingent capital bonds
- On nonnegative unbiased estimators
- A first step to implement Gillespie's algorithm with rejection sampling
- Coupling all the Lévy stochastic areas of multidimensional Brownian motion
- Inference for stochastic volatility models using time change transformations
- Optimal posting price of limit orders: learning by trading
- Exact simulation of the Wright-Fisher diffusion
- A new rejection sampling method without using hat function
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Exact simulation problems for jump-diffusions
- Simulation of jump diffusions and the pricing of options
- Multilevel Monte Carlo method for ergodic SDEs without contractivity
- Retrospective exact simulation of diffusion sample paths with applications
- On the exact and -strong simulation of (jump) diffusions
- The computational cost of blocking for sampling discretely observed diffusions
- Perfect simulation of \(\mathrm{M}/\mathrm{G}/c\) queues
- Exact scenario simulation for selected multi-dimensional stochastic processes
- Unbiased estimation with square root convergence for SDE models
- Numerical approximation of irregular SDEs via Skorokhod embeddings
- Analysis and approximation of a stochastic growth model with extinction
- Exact simulation of Bessel diffusions
- Simulation of extremes of diffusions
- Exact simulation of the 3/2 model
- The strong weak convergence of the quasi-EA
- Perfect simulation with exponential tails on the running time
- Self-regularized pseudo time-marching schemes for structural system identification with static measurements
- Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
- Particle Filters for Partially Observed Diffusions
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Fluctuation analysis for the loss from default
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- Multilevel Monte Carlo for smoothing via transport methods
- Exact simulation of multidimensional reflected Brownian motion
- Analysis and rejection sampling of Wright-Fisher diffusion bridges
- A multiresolution method for parameter estimation of diffusion processes
- Monte Carlo fusion
- Unbiased estimators and multilevel Monte Carlo
- Unbiased inference for discretely observed hidden Markov model diffusions
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Exact simulation for multivariate Itô diffusions
- Exact simulation of coupled Wright–Fisher diffusions
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Exact simulation of extrinsic stress-release processes
- Parameter identification for a stochastic logistic growth model with extinction
- Reducing bias in event time simulations via measure changes
- Exact simulation of first exit times for one-dimensional diffusion processes
- The Girsanov theorem without (so much) stochastic analysis
- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Exact simulation for diffusion bridges: an adaptive approach
- Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift
- Large portfolio asymptotics for loss from default
- Parametric inference for mixed models defined by stochastic differential equations
- Exact sampling of diffusions with a discontinuity in the drift
- Simulating events of unknown probabilities via reverse time martingales
- Exact simulation of the extrema of stable processes
- Optimal stopping under uncertainty in drift and jump intensity
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Nearest neighbor based estimation technique for pricing Bermudan options
- A study of the efficiency of exact methods for diffusion simulation
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- Exact Monte Carlo simulation of killed diffusions
- Geodesics and flows in a Poissonian city
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Hybrid scheme for Brownian semistationary processes
- Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
- Flexible Bayesian inference for diffusion processesusing splines
- A causality-based learning approach for discovering the underlying dynamics of complex systems from partial observations with stochastic parameterization
- Unbiased Estimation Using Underdamped Langevin Dynamics
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
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