Unbiased Monte Carlo Simulation of Diffusion Processes
نویسندگان
چکیده
منابع مشابه
Sequential Monte Carlo Methods for Diffusion Processes
In this paper we show how to use sequential Monte Carlo (SMC) methods ([7, 13]) to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t the initial condition of the process. In some cases, using the exact simulation of diffusions methodology ([3]), there is no time discretization error, otherwise the methods use Euler discretization. We i...
متن کاملMonte Carlo Simulation of Stochastic Processes
For all cases I present both simulations the risk-neutral and the real one. Risk-neutral simulations are used for derivatives pricing, whereas real simulations are used in other applications like: (a) value at risk; (b) hedging; and, (c) in some real options applications, e.g., to find out the option exercise probability and the waiting expected time before the option exercise (see the Timing s...
متن کاملAsymptotic Properties of Monte Carlo Estimators of Diffusion Processes
CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses activités de recherche provient des cotisations de ses organisations-membres, d'une subvention d'infrastructure du ministère de la Recherche, de la Science et de la Technologie, de même que des subventions et mandats obtenus par ses équipes de...
متن کاملMarkov Chain Monte Carlo Simulation of the Wright-Fisher Diffusion
Markov Chain Monte Carlo Simulation of the Wright-Fisher Diffusion
متن کاملMonte Carlo simulation of Fickian diffusion in the critical region
In this article we describe a novel, phenomenologically based computer simulation approach for studying relaxation dynamics in fluid systems. The method utilizes an ensemble consisting of two isothermal chambers initially separated by an impermeable partition. The fluid configurations in each chamber are initially pre-equilibrated at densities r̄1« and r̄2« respectively, where r̄ reflects an avera...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2776719