Some recent simulation techniques of diffusion bridge 2009 (engelsk)Independent thesis Basic level (degree of Bachelor), 15 poäng / 22,5 hpOppgave

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!

sted, utgiver, år, opplag, sider

2009. , s. 20

Serie

Rapporter från MSI, ISSN 1650-2647 ; 09018

Emneord [en]

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

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Identifikatorer

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

Presentation

(engelsk)

Uppsök

Physics, Chemistry, Mathematics

Veileder

Examiner

Tilgjengelig fra: 2009-09-02 Laget: 2009-09-01 Sist oppdatert: 2010-03-10bibliografisk kontrollert

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