Exact simulation of diffusions
成果类型：
Article
署名作者：
Beskos, A; Roberts, GO
署名单位：
Lancaster University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/105051605000000485
发表日期：
2005
页码：
2422-2444
关键词：
摘要：
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.
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