Beskos, A;
Papaspiliopoulos, O;
Roberts, GO;
(2008)
A factorisation of diffusion measure and finite sample path constructions.
Methodology and Computing in Applied Probability
, 10
(1)
pp. 85-104.
10.1007/s11009-007-9060-4.
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Abstract
In this paper we introduce decompositions of diffusion measure which are used to construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. We consider general classes of scalar time-inhomogeneous diffusions and certain classes of multivariate diffusions. The methodology presented in this paper is based on a novel construction of the Brownian bridge with known range for its extrema, which is of interest on its own right.
| Type: | Article |
|---|---|
| Title: | A factorisation of diffusion measure and finite sample path constructions |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1007/s11009-007-9060-4 |
| Publisher version: | http://doi.org/10.1007/s11009-007-9060-4 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Rejection sampling, Exact simulation, Conditioned Brownian motion, Boundary hitting times |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10049806 |
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