Exact simulation of diffusions 论文
2005The Annals of Applied Probability引用 280
Bayesian Methods and Mixture ModelsStatistical Methods and InferenceGaussian Processes and Bayesian Inference
摘要
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.