An empirical study of the efficiency of EA for diffusion simulation
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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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
|Item Type:||Working or Discussion Paper (Working Paper)|
|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|
|Number of Pages:||26|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Y. Ait-Sahalia. Closed-Form Likelihood Expansions for Multivariate Diffusions. 2002.
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