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

DOI10.1016/J.CSDA.2017.08.008MaRDI QIDQ1662059zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

acceptance-rejection methodinverse transform methodrestricted 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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Cited in

(3)

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

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• sde

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