Alexandros Beskos, Gareth O. Roberts
Published 2006-02-23Version 1
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.
Comments: Published at http://dx.doi.org/10.1214/105051605000000485 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Journal: Annals of Applied Probability 2005, Vol. 15, No. 4, 2422-2444
An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps
A new weak approximation scheme of stochastic differential equations and the Runge-Kutta method
Exact simulation of coupled Wright-Fisher diffusions
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