Some open problems in exact simulation of stochastic differential equations
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Management Science and Operations Research,Computer Science Applications
Link
https://link.springer.com/content/pdf/10.1007/s11134-022-09835-x.pdf
Reference7 articles.
1. Beskos, A., Papaspiliopoulos, O., Roberts, G.O.: Retrospective exact simulation of diffusion sample paths with applications. Bernoulli 12(6), 1077–1098 (2006)
2. Beskos, A., Roberts, G.O.: Exact simulation of diffusions. Ann. Appl. Probab. 15(4), 2422–2444 (2005)
3. Blanchet, J., Chen, X., Dong, J.: $$\varepsilon $$-Strong simulation for multidimensional stochastic differential equations via rough path analysis. Ann. Appl. Probab. 27(1), 275–336 (2017)
4. Blanchet, J., Murthy, K.: Exact simulation of multidimensional reflected Brownian motion. J. Appl. Probab. 55(1), 137–156 (2018)
5. Blanchet, J., Zhang, F.: Exact simulation for multivariate Itô diffusions. Adv. Appl. Probab. 52(4), 1003–1034 (2020)
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