The strong weak convergence of the quasi-EA

DOI10.1007/S11134-013-9351-0MaRDI QIDQ351502zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Stefano Peluchetti, Bruno Casella, Gareth O. Roberts

Publication date 5 July 2013

Published in Queueing Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11134-013-9351-0

zbMATH Keywords

convergenceexact simulationdiffusion processesPoisson point processbiased Brownian motionGirsanov structureMarkov couplingquasi-exact algorithmsimulation of SDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Brownian motion (60J65) Stochastic particle methods (65C35)

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Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 1416816 (Why is no real title available?)
• A factorisation of diffusion measure and finite sample path constructions
• Exact simulation of diffusions
• On strong forms of weak convergence
• Retrospective exact simulation of diffusion sample paths with applications

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