Exact simulation of diffusions

Details Exact simulation of diffusions Exact simulation of diffusions

2006-02-23

arxiv.org/abs/math/0602523v1

Annals of Applied Probability 2005, Vol. 15, No. 4, 2422-2444

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051605000000485 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051605000000485

We describe a new, surprisingly simple algorithm, that simulates exact sample
paths of a class of stochastic differential equations. It involves rejection
sampling and, when applicable, returns the location of the path at a random
collection of time instances. The path can then be completed without further
reference to the dynamics of the target process.

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