Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
DOI10.1007/S13160-019-00395-XzbMATH Open1440.60066OpenAlexW2986186641MaRDI QIDQ2300965FDOQ2300965
Authors: Tomooki Yuasa 
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-019-00395-x
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Cites Work
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Title not available (Why is that?)
- An introduction to stochastic differential equations with reflection
- Euler scheme for reflected stochastic differential equations
- The parametrix method for skew diffusions
- Unbiased simulation of stochastic differential equations using parametrix expansions
- A probabilistic interpretation of the parametrix method
- Parametrix methods for one-dimensional reflected SDEs
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
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