An efficient method to simulate diffusion bridges (Q6581664)
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scientific article; zbMATH DE number 7889757
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An efficient method to simulate diffusion bridges |
scientific article; zbMATH DE number 7889757 |
Statements
An efficient method to simulate diffusion bridges (English)
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31 July 2024
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stochastic diffusion
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diffusion bridge
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simulation
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Brownian bridge
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Gaussian process
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Euler scheme
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geometric Brownian motion
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Ornstein-Uhlenbeck process
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0.8494974374771118
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0.847265362739563
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0.8395291566848755
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0.8074415922164917
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0.7920923829078674
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