Recursive algorithm for transition density approximation and simulation of diffusion processes

DOI10.1111/STAN.70020MaRDI QIDQ6881149zbMATH OpenFDO

Authors Samir Ben Hariz, Youssef Esstafa, Helmi Zaatra

Publication date 18 December 2025

Published in Statistica Neerlandica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

recursive algorithmHermite polynomialsstochastic differential equationsdiffusion processestransition density

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites work

• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• A new rejection sampling method without using hat function
• A theory of the term structure of interest rates
• Applied stochastic differential equations
• Energy statistics: a class of statistics based on distances
• Exact simulation of diffusions
• Hermite polynomial based expansion of European option prices
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Retrospective exact simulation of diffusion sample paths with applications
• The delta expansion for the transition density of diffusion models

This page was built for publication: Recursive algorithm for transition density approximation and simulation of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6881149)