On the exact and -strong simulation of (jump) diffusions
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On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
jump diffusionssimulationstochastic differential equationsadaptive exact algorithmsbarrier crossing probabilitiesBrownian path space probabilitiesfirst hitting timeskilled diffusions
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any finite collection of time points. Within this framework we extend existing exact algorithms and introduce novel adaptive approaches. We consider an application of the methodology developed within this paper which allows the simulation of upper and lower bounding processes which almost surely constrain (jump) diffusion sample paths to any specified tolerance. We demonstrate the efficacy of our approach by showing that with finite computation it is possible to determine whether or not sample paths cross various irregular barriers, simulate to any specified tolerance the first hitting time of the irregular barrier and simulate killed diffusion sample paths.
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- A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
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- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Markov chain Monte Carlo for exact inference for diffusions
- Numerical solution of stochastic differential equations with jumps in finance
- Option pricing when underlying stock returns are discontinuous
- Retrospective exact simulation of diffusion sample paths with applications
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Simulation of Brownian motion at first-passage times
- Stochastic differential mixed-effect models
- The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
- The pricing of options and corporate liabilities
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Cited in
(28)- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Exact simulation of multidimensional reflected Brownian motion
- Monte Carlo fusion
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Measuring impact of random jumps without sample path generation
- Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact simulation of the first-passage time of diffusions
- Exact simulation of coupled Wright–Fisher diffusions
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Statistical inference for stochastic differential equations
- \(\varepsilon\)-strong simulation of the Brownian path
- Exact sampling of jump diffusions
- Exact sampling of diffusions with a discontinuity in the drift
- Reducing bias in event time simulations via measure changes
- Unbiased simulation of rare events in continuous time
- Exact simulation problems for jump-diffusions
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
- A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
- -strong simulation of the convex minorants of stable processes and meanders
- Simulation of extremes of diffusions
- The computational cost of blocking for sampling discretely observed diffusions
- Strong approximation of Bessel processes
- Exact Monte Carlo simulation of killed diffusions
- Exact simulation of the first passage time through a given level of jump diffusions
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
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