The Annals of Applied Probability

Exact simulation of diffusions

Alexandros Beskos and Gareth O. Roberts

Full-text: Open access

Abstract

We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.

Article information

Source
Ann. Appl. Probab. Volume 15, Number 4 (2005), 2422-2444.

Dates
First available: 7 December 2005

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1133965767

Digital Object Identifier
doi:10.1214/105051605000000485

Mathematical Reviews number (MathSciNet)
MR2187299

Zentralblatt MATH identifier
05039564

Subjects
Primary: 60J60: Diffusion processes [See also 58J65] 65C05: Monte Carlo methods

Keywords
Exact simulation rejection sampling Girsanov theorem boundary hitting time

Citation

Beskos, Alexandros; Roberts, Gareth O. Exact simulation of diffusions. The Annals of Applied Probability 15 (2005), no. 4, 2422--2444. doi:10.1214/105051605000000485. http://projecteuclid.org/euclid.aoap/1133965767.


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