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Exact simulation of jumpdiffusion processes with Monte Carlo applications
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Casella, Bruno and Roberts, Gareth O. (2008) Exact simulation of jumpdiffusion processes with Monte Carlo applications. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2008 (No.19).
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Abstract
We introduce a novel algorithm (JEA) to simulate exactly from a
class of onedimensional jumpdiffusion processes with statedependent
intensity. The simulation of the continuous component builds on the
recent Exact Algorithm ((1)). The simulation of the jump component
instead employes a thinning algorithm with stochastic acceptance
probabilities in the spirit of (14). In turn JEA allows unbiased Monte
Carlo simulation of a wide class of functionals of the process’ trajectory, including discrete averages, max/min, crossing events, hitting
times. Our numerical experiments show that the method outperforms
Monte Carlo methods based on the Euler discretization.
Item Type:  Working or Discussion Paper (Working Paper) 

Subjects:  Q Science > QA Mathematics 
Divisions:  Faculty of Science > Statistics 
Library of Congress Subject Headings (LCSH):  Diffusion processes 
Series Name:  Working papers 
Publisher:  University of Warwick. Centre for Research in Statistical Methodology 
Place of Publication:  Coventry 
Official Date:  2008 
Volume:  Vol.2008 
Number:  No.19 
Number of Pages:  31 
Institution:  University of Warwick 
Status:  Not Peer Reviewed 
Access rights to Published version:  Open Access 
Funder:  Engineering and Physical Sciences Research Council (EPSRC) 
Realised As:  Casella, B. and Roberts, G. (2011). Exact simulation of jumpdiffusion processes with Monte Carlo applications. Methodology and Computing in Applied Probability, 13(3), pp. 449473. 
Related URLs:  
References:  [1] Beskos, A., Papaspiliopoulos, O., and Roberts, G. O. (2006a). Retrospective exact 
URI:  http://wrap.warwick.ac.uk/id/eprint/35492 
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 Exact simulation of jumpdiffusion processes with Monte Carlo applications. (deposited 12 Jul 2011 15:48) [Currently Displayed]
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