Exact scenario simulation for selected multi-dimensional stochastic processes
نویسندگان
چکیده
منابع مشابه
Exact simulation of multi-dimensional stochastic differential equations
We develop a weak exact simulation technique for a process X defined by a multidimensional stochastic differential equation (SDE). Namely, for a Lipschitz function g, we propose a simulation based approximation of the expectation E[g(Xt1 , · · · , Xtn)], which by-passes the discretization error. The main idea is to start instead from a wellchosen simulatable SDE whose coefficients are up-dated ...
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ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2009
ISSN: 0973-9599
DOI: 10.31390/cosa.3.3.09