Exact simulation for multivariate Itô diffusions

DOI10.1017/APR.2020.39MaRDI QIDQ5005041zbMATH OpenOpenAlexFDO

Authors Jose Blanchet, Fan Zhang

Publication date 4 August 2021

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.05124

zbMATH Keywords

Brownian motionexact simulationMonte Carlo methodstochastic differential equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
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• Multilevel Monte Carlo Path Simulation
• Nearly optimal Bernoulli factories for linear functions
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• Retrospective exact simulation of diffusion sample paths with applications
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• Unbiased simulation of stochastic differential equations

Cited in

(19)

• Exact simulation of IG-OU processes
• On the simulation of iterated Itô integrals.
• From the Bernoulli factory to a dice enterprise via perfect sampling of Markov chains
• Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
• Unbiased simulation of rare events in continuous time
• Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
• Combinatorial Bernoulli factories
• Exact simulation of Bessel diffusions
• Exact simulation of generalised Vervaat perpetuities
• Unbiased inference for discretely observed hidden Markov model diffusions
• Exact simulation of coupled Wright–Fisher diffusions
• Reducing bias in event time simulations via measure changes
• Exact Simulation for Multivariate It\^o Diffusions
• Speeding up the Euler scheme for killed diffusions
• Statistical inference for stochastic differential equations
• Exact simulation of the first-passage time of diffusions to time-dependent thresholds
• Antithetic multilevel particle filters
• Fifty years of stochastic simulation: where we are and where we need to go
• Multi-step methods for random ODEs driven by Itô diffusions

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