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An empirical study of the efficiency of EA for diffusion simulation
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Peluchetti, Stefano and Roberts, Gareth O. (2008) An empirical study of the efficiency of EA for diffusion simulation. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.14).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
In this paper we investigate the efficiency of some simulation schemes for the
numerical solution of a one dimensional stochastic differential equation (SDE). The schemes
considered are: the Exact Algorithm (EA), the Euler, the Predictor-Corrector and the Ozaki-
Shoji schemes. The focus of the work is on EA which samples skeletons of SDEs without
any approximation. The analysis is carried out via a simulation study using some test SDEs.
We also consider efficiency issues arising by the extension of EA to the multi-dimensional
setting.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Stochastic differential equations, Diffusion processes | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2008 | ||||
Dates: |
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Volume: | Vol.2008 | ||||
Number: | No.14 | ||||
Number of Pages: | 26 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access |
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