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A study of the efficiency of exact methods for diffusion simulation
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Peluchetti, Stefano and Roberts, Gareth O. (2012) A study of the efficiency of exact methods for diffusion simulation. In: Plaskota, Leszek and Woźniakowski , Henryk, (eds.) Monte Carlo and Quasi-Monte Carlo Methods 2010. Springer Proceedings in Mathematics and Statistics, Volume 23 . Berlin Heidelberg: Springer, pp. 161-187. ISBN 9783642274398
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Official URL: http://dx.doi.org/10.1007/978-3-642-27440-4_7
Abstract
In this paper we investigate the efficiency of some simulation schemes for the numerical solution of uni- and multi-dimensional stochastic differential equation (SDE) with particular interest in a recently developed technique for diffusion simulation [5] which avoids the need for any time-discretisation approximation (the so-called exact algorithm for diffusion simulation). The schemes considered are: the Exact Algorithm, the Euler, the Predictor-Corrector and the Ozaki-Shoji schemes. 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: | Book Item | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Series Name: | Springer Proceedings in Mathematics and Statistics | ||||
Journal or Publication Title: | Monte Carlo and Quasi-Monte Carlo Methods 2010 | ||||
Publisher: | Springer | ||||
Place of Publication: | Berlin Heidelberg | ||||
ISBN: | 9783642274398 | ||||
ISSN: | 2194-1009 | ||||
Book Title: | Monte Carlo and Quasi-Monte Carlo Methods 2010 | ||||
Editor: | Plaskota, Leszek and Woźniakowski , Henryk | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Volume 23 | ||||
Number of Pages: | 398 | ||||
Page Range: | pp. 161-187 | ||||
DOI: | 10.1007/978-3-642-27440-4_7 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
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