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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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)
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:	Date Event 2008 Published
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Status:	Not Peer Reviewed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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