A Study of the Efficiency of Exact Methods for Diffusion Simulation

DOI10.1007/978-3-642-27440-4_7zbMath1271.65019OpenAlexW1930882414MaRDI QIDQ5326104

Stefano Peluchetti, Gareth O. Roberts

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_7

zbMATH Keywords

numerical examplesstochastic differential equationsexact algorithmEulerpredictor-correctordiffusion simulationOzaki-Shoji

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• A factorisation of diffusion measure and finite sample path constructions
• Closed-form likelihood expansions for multivariate diffusions
• Exact simulation of diffusions
• Retrospective exact simulation of diffusion sample paths with applications
• Continuous Markov processes and stochastic equations
• Multilevel Monte Carlo Path Simulation
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Adaptive Rejection Sampling for Gibbs Sampling
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