Recently, Herrmann and Zucca proposed a new algorithm, the so-called GDET-algorithm (General Diffusion Exit Time), which permits to simulate exactly the first exit time for one-dimensional diffusions. The only drawback of exact simulation methods using an acceptance-rejection sampling is their ...
(2008) A new factorisation of diffusion measure and finite sample path construction. In: Methodology and Computing in Applied Probability, vol 10, No. 1, pp 85–104. Beskos A., Roberts G.O. (2005) Exact simulation of diffusions In: Ann. Appl. Probab, vol 15, pp 2422–2444. ...
Simulation of Brownian motion at first-passage times Math. Comput. Simulation (2008) AsmussenS. et al. Stochastic Simulation: Algorithms and Analysis. vol. 57 (2007) BeskosA. et al. Exact simulation of diffusions Ann. Appl. Probab. (2005) BorodinA.N. et al. Handbook of Brownian Motion...
Baldeaux, J., Platen, E. (2013). Exact and Almost Exact Simulation. In: Functionals of Multidimensional Diffusions with Applications to Finance. Bocconi & Springer Series, vol 5. Springer, Cham. https://doi.org/10.1007/978-3-319-00747-2_6 ...
with and without the signaling input differ for small Δ, but are indistinguishable for large Δ. This result implies that we cannot discern the presence of a signaling input if we use a large time window. Note that these analytic results were confirmed by numerical simulation of the LIF equat...
This paper develops a method for the exact simulation of a skeleton, a hitting time and other functionals of a one-dimensional jump-diffusion with state-dependent drift, volatility, jump intensity and jump size. The method requires the drift function to be C, the volatility function to be C,...
exact simulation methodsskew Brownian motionskew diffusionsBrownian motion with discontinuous driftIn this paper, using an algorithm based on the retrospective rejection sampling scheme introduced in [A. Beskos, O. Papaspiliopoulos, and G. O. Roberts,Methodol. Comput. Appl. Probab., 10 (2008), ...
In this paper I extend the exact algorithm to apply to a class of diffusions with a finite entrance boundary. The key innovation is that for these models the Bessel process is a more suitable candidate process than the more usually chosen Brownian motion. The algorithm is illustrated by an ...
This algorithm is based on both the exact simulation of the diffusion value at a fixed time and on the exact simulation of the first passage time for continuous diffusion processes (see Herrmann and Zucca (2019)). At a fixed point in time, the main challenge is to generate the position ...
On the exact and ε-strong simulation of (jump) diffusions. Bernoulli, 22(2):794-856.Pollock, M. and Johansen, A.M. and Roberts, G.O. (2016b), On the Exact and -Strong Simulation of (Jump) Diffusions, Bernoulli, 22:(2), 794-856....