Exact simulation for multivariate Itô diffusions

We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation which can be used to reduce the sampling problem to the case of a constant diffusion matrix and a drift which is the gradien...

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Veröffentlicht in:	Advances in applied probability 2020-12, Vol.52 (4), p.1003-1034
Hauptverfasser:	Blanchet, Jose, Zhang, Fan
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Approximation Bias Brownian motion Computer simulation Diffusion Localization Monte Carlo simulation Multivariate analysis Original Article Original Articles Probability Sampling Transformations (mathematics)
Online-Zugang:	Volltext
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