Exact simulation problems for jump-diffusions
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Publication:2513661
DOI10.1007/s11009-013-9330-2zbMath1334.60130OpenAlexW1975146008MaRDI QIDQ2513661
Gareth O. Roberts, Flávio B. Gonçalves
Publication date: 28 January 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-013-9330-2
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Related Items (10)
Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Online Smoothing for Diffusion Processes Observed with Noise ⋮ Using maximum cross section method for filtering jump-diffusion random processes ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Exact Bayesian Inference in Spatiotemporal Cox Processes Driven by Multivariate Gaussian Processes ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ Multiscale stochastic optimization: modeling aspects and scenario generation ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ Shot noise multifractal model for turbulent pseudo-dissipation ⋮ A first step to implement Gillespie's algorithm with rejection sampling
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