Title :
On the exact simulation of (jump) diffusion bridges
Author_Institution :
Department of Statistics, University of Warwick, Gibbet Hill Road, Coventry, CV4 7AL, UK
Abstract :
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of recent work developing a mathematical framework for simulating finite dimensional sample path skeletons (which flexibly characterise the entirety of sample paths).
Keywords :
Discrete wavelet transforms
Conference_Titel :
Winter Simulation Conference (WSC), 2015
Electronic_ISBN :
1558-4305
DOI :
10.1109/WSC.2015.7408177