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A factorisation of diffusion measure and finite sample path constructions
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Beskos, Alexandros, Papaspiliopoulos, Omiros and Roberts, Gareth O. (2008) A factorisation of diffusion measure and finite sample path constructions. Methodology and Computing in Applied Probability, Vol.10 (No.1). pp. 85-104. doi:10.1007/s11009-007-9060-4 ISSN 1387-5841.
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Official URL: http://dx.doi.org/10.1007/s11009-007-9060-4
Abstract
In this paper we introduce decompositions of diffusion measure which are used to construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. We consider general classes of scalar time-inhomogeneous diffusions and certain classes of multivariate diffusions. The methodology presented in this paper is based on a novel construction of the Brownian bridge with known range for its extrema, which is of interest on its own right.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
| Journal or Publication Title: | Methodology and Computing in Applied Probability | ||||
| Publisher: | Springer | ||||
| ISSN: | 1387-5841 | ||||
| Official Date: | March 2008 | ||||
| Dates: |
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| Volume: | Vol.10 | ||||
| Number: | No.1 | ||||
| Number of Pages: | 20 | ||||
| Page Range: | pp. 85-104 | ||||
| DOI: | 10.1007/s11009-007-9060-4 | ||||
| Status: | Not Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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