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Lookup NU author(s): Dr Murray Pollock
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© 2015 IEEE.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).
Author(s): Pollock M
Publication type: Conference Proceedings (inc. Abstract)
Publication status: Published
Conference Name: 2015 Winter Simulation Conference (WSC)
Year of Conference: 2015
Pages: 348-359
Online publication date: 18/02/2016
Acceptance date: 02/04/2014
ISSN: 1558-4305
Publisher: Institute of Electrical and Electronics Engineers Inc.
URL: https://doi.org/10.1109/WSC.2015.7408177
DOI: 10.1109/WSC.2015.7408177
Library holdings: Search Newcastle University Library for this item
ISBN: 9781467397438
