NDLI: Exact Simulation Problems for Jump-Diffusions

Content Provider	Springer Nature Link
Author	Gonçalves, Flávio B. Roberts, Gareth O.
Copyright Year	2013
Abstract	Exact simulation of SDEs is a very important and challenging problem. In this paper we discuss exact simulation problems for jump-diffusion processes. Motivated by statistical applications, our main contribution is to propose an algorithm that performs exact simulation of a class of jump-diffusion bridges. We also present and discuss the existing methods for forward simulation and propose an extension of one of them to account for unbounded jump rate. Finally, the exact algorithms are compared to competing non-exact ones in some simulated examples.
Starting Page	907
Ending Page	930
Page Count	24
File Format	PDF
ISSN	13875841
Journal	Methodology and Computing in Applied Probability
Volume Number	16
Issue Number	4
e-ISSN	15737713
Language	English
Publisher	Springer US
Publisher Date	2013-04-03
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Jump-diffusions Exact simulation Jump-diffusion bridge Statistics Life Sciences Electrical Engineering Economics general Business/Management Science
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Exact Simulation Problems for Jump-Diffusions