The strong weak convergence of the quasi-EA
DOI10.1007/S11134-013-9351-0zbMATH Open1280.65010DBLPjournals/questa/PeluchettiRC13OpenAlexW2160082607WikidataQ59304081 ScholiaQ59304081MaRDI QIDQ351502FDOQ351502
Gareth O. Roberts, Stefano Peluchetti, Bruno Casella
Publication date: 5 July 2013
Published in: Queueing Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11134-013-9351-0
convergenceexact simulationdiffusion processesPoisson point processbiased Brownian motionGirsanov structureMarkov couplingquasi-exact algorithmsimulation of SDEs
Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Brownian motion (60J65) Stochastic particle methods (65C35)
Cites Work
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- Retrospective exact simulation of diffusion sample paths with applications
- Exact simulation of diffusions
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- A factorisation of diffusion measure and finite sample path constructions
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- On strong forms of weak convergence
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