A Factorisation of Diffusion Measure and Finite Sample Path Constructions
- 198 Downloads
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.
KeywordsRejection sampling Exact simulation Conditioned Brownian motion Boundary hitting times
AMS 2000 Subject Classification65C05
Unable to display preview. Download preview PDF.
- J. F. C. Kingman, Poisson processes, vol. 3 of Oxford Studies in Probability, The Clarendon Press Oxford University Press, Oxford Science Publications: New York, 1993. Oxford Science Publications, 1993.Google Scholar
- P. E. Kloeden, and E. Platen, Numerical Solution of Stochastic Differential Equations, vol. 23 of Applications of Mathematics (New York). Springer-Verlag: Berlin, 1992.Google Scholar