Exact simulation of diffusions
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Publication:2496495
DOI10.1214/105051605000000485zbMATH Open1101.60060arXivmath/0602523OpenAlexW2064401329MaRDI QIDQ2496495FDOQ2496495
Authors: Alexandros Beskos, Gareth O. Roberts 
Publication date: 10 July 2006
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
Full work available at URL: https://arxiv.org/abs/math/0602523
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