A factorisation of diffusion measure and finite sample path constructions
A factorisation of diffusion measure and finite sample path constructions
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DOI：
10.1007/s11009-007-9060-4
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发表时间：
2008-03-01
影响因子：
0.9
通讯作者：
Roberts, Gareth O.
中科院分区：
文献类型：
--
作者：
Beskos, Alexandros;Papaspiliopoulos, Orniros;Roberts, Gareth O.
本文介绍了扩散测度的分解，并利用它构造了一个精确模拟扩散样本路径和光滑边界的扩散命中时间的算法。我们考虑一般类的标量时间非齐次扩散和某些类的多元扩散。本文提出的方法是基于一种新的布朗桥的建设与已知范围的极值，这是对自己的权利感兴趣。
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.