Exact simulation of diffusions
Beskos, Alexandros ; Roberts, Gareth O.
Ann. Appl. Probab., Tome 15 (2005) no. 1A, p. 2422-2444 / Harvested from Project Euclid
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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.
Publié le : 2005-11-14
Classification:  Exact simulation,  rejection sampling,  Girsanov theorem,  boundary hitting time,  60J60,  65C05 
@article{1133965767,
     author = {Beskos, Alexandros and Roberts, Gareth O.},
     title = {Exact simulation of diffusions},
     journal = {Ann. Appl. Probab.},
     volume = {15},
     number = {1A},
     year = {2005},
     pages = { 2422-2444},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1133965767}
}

Beskos, Alexandros; Roberts, Gareth O. Exact simulation of diffusions. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp.  2422-2444. http://gdmltest.u-ga.fr/item/1133965767/