Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection

DOI10.1007/S13160-019-00395-XMaRDI QIDQ2300965zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic differential equationsparametrix methodunbiased simulation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• A probabilistic interpretation of the parametrix method
• An introduction to stochastic differential equations with reflection
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Euler scheme for reflected stochastic differential equations
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Parametrix methods for one-dimensional reflected SDEs
• The parametrix method for skew diffusions
• Unbiased simulation of stochastic differential equations using parametrix expansions

Cited in

(2)

• Unbiased simulation of stochastic differential equations using parametrix expansions
• Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures

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