Method for simulating non-linear stochastic differential equations in ℝ1

DOI10.1080/00949650410001687235MaRDI QIDQ5697313zbMATH OpenOpenAlexFDO

Authors João Nicolau

Publication date 17 October 2005

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650410001687235

zbMATH Keywords

diffusion processessimulation-based methodsstatistical simulation methodstransition density estimation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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Cited in

(6)

• Simulation of stochastic differential equations through the local linearization method. A comparative study
• Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
• Exact scenario simulation for selected multi-dimensional stochastic processes
• In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations
• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
• Solutions and simulations of some one-dimensional stochastic differential equations

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