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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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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:
DateEvent
2008Published
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Status: Not Peer Reviewed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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