The following pages link to Exact simulation of diffusions (Q2496495):
Displaying 50 items.
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- Numerical approximation of irregular SDEs via Skorokhod embeddings (Q289527) (← links)
- Analysis and approximation of a stochastic growth model with extinction (Q292367) (← links)
- The strong weak convergence of the quasi-EA (Q351502) (← links)
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
- Fluctuation analysis for the loss from default (Q402480) (← links)
- Analysis and rejection sampling of Wright-Fisher diffusion bridges (Q481668) (← links)
- Geodesics and flows in a Poissonian city (Q549856) (← links)
- Exact simulation of jump-diffusion processes with Monte Carlo applications (Q660166) (← links)
- A probabilistic interpretation of the parametrix method (Q894801) (← links)
- Statistical inference for dynamical systems: a review (Q895009) (← links)
- A factorisation of diffusion measure and finite sample path constructions (Q937166) (← links)
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes (Q1002156) (← links)
- Nonparametric adaptive estimation for integrated diffusions (Q1009666) (← links)
- On exact simulation algorithms for some distributions related to Jacobi theta functions (Q1036738) (← links)
- Systematic physics constrained parameter estimation of stochastic differential equations (Q1623793) (← links)
- Piecewise deterministic Markov processes for continuous-time Monte Carlo (Q1630397) (← links)
- Bayesian inference of selection in the Wright-Fisher diffusion model (Q1672824) (← links)
- Unbiased simulation of stochastic differential equations (Q1704137) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- On one-dimensional Riccati diffusions (Q1737966) (← links)
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models (Q1927178) (← links)
- \(\varepsilon\)-strong simulation of the Brownian path (Q1932226) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- CLTs and asymptotic variance of time-sampled Markov chains (Q1945602) (← links)
- Extended Black and Scholes model under bankruptcy risk (Q2011269) (← links)
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces (Q2042659) (← links)
- A generic construction for high order approximation schemes of semigroups using random grids (Q2049919) (← links)
- Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← links)
- Exact simulation for the first hitting time of Brownian motion and Brownian bridge (Q2105352) (← links)
- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models (Q2121629) (← links)
- Unbiased simulation of rare events in continuous time (Q2157425) (← links)
- On the eigenproblem for Gaussian bridges (Q2174977) (← links)
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations (Q2196378) (← links)
- GARCH quasi-likelihood ratios for SV model and the diffusion limit (Q2197597) (← links)
- Continuous-discrete smoothing of diffusions (Q2233574) (← links)
- Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
- Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems (Q2289976) (← links)
- Exact simulation of the first-passage time of diffusions (Q2316185) (← links)
- Valuation and analysis of zero-coupon contingent capital bonds (Q2342734) (← links)
- On nonnegative unbiased estimators (Q2343962) (← links)
- A first step to implement Gillespie's algorithm with rejection sampling (Q2353369) (← links)
- Coupling all the Lévy stochastic areas of multidimensional Brownian motion (Q2370093) (← links)
- Inference for stochastic volatility models using time change transformations (Q2380088) (← links)
- Optimal posting price of limit orders: learning by trading (Q2392020) (← links)
- Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (Q2446752) (← links)
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes (Q2465276) (← links)
- Exact simulation problems for jump-diffusions (Q2513661) (← links)
- Simulation of jump diffusions and the pricing of options (Q2518535) (← links)
- Multilevel Monte Carlo method for ergodic SDEs without contractivity (Q2633846) (← links)
