Some recent simulation techniques of diffusion bridge 2009 (English)Independent thesis Basic level (degree of Bachelor), 15 credits / 22,5 HE creditsStudent thesis

Abstract [en]

We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from  Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!

Place, publisher, year, edition, pages

2009. , p. 20

Series

Reports from MSI, ISSN 1650-2647 ; 09018

Keywords [en]

Brownian bridge, diffusion bridge, Brownian motion, stochastic differential equation, simulation, numerical methods, Euler-Maruyama's method, acceptance-rejection method.

National Category

Probability Theory and Statistics

Identifiers

URN: urn:nbn:se:vxu:diva-5749OAI: oai:DiVA.org:vxu-5749DiVA, id: diva2:233650

Presentation

(English)

Uppsok

Physics, Chemistry, Mathematics

Supervisors

Examiners

Available from: 2009-09-02 Created: 2009-09-01 Last updated: 2010-03-10Bibliographically approved

Open Access in DiVA

By organisation

School of Mathematics and Systems Engineering

On the subject

Probability Theory and Statistics

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