Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary

DOI10.1016/J.CSDA.2017.08.008zbMATH Open1469.60008OpenAlexW2752651557WikidataQ63434400 ScholiaQ63434400MaRDI QIDQ1662059FDOQ1662059

Authors: Enrica Pirozzi, Aniello Buonocore, Amelia G. Nobile

Publication date: 17 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.08.008

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zbMATH Keywords

acceptance-rejection method inverse transform method restricted Wiener and Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Diffusion processes (60J60)

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Optimal pricing barriers in a regulated market using reflected diffusion processes

Cited In (3)

On a time-inhomogeneous diffusion process with discontinuous drift
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
First-passage times and related moments for continuous-time birth-death chains

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