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Some recent simulation techniques of diffusion bridge
Växjö University, Faculty of Mathematics/Science/Technology, School of Mathematics and Systems Engineering.
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

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CiteExportLink to record
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Citation style
  • apa
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  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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