Exact scenario simulation for selected multi-dimensional stochastic processes

Platen, E; Rendek, RJ

Exact scenario simulation for selected multi-dimensional stochastic processes

Platen, E

Rendek, RJ

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Publisher:: Serial Publications
Publication Type:: Journal Article
Citation:: Communications on Stochastic Analysis, 2009, 3 (3), pp. 443 - 465
Issue Date:: 2009-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.author	Rendek, RJ	en_US
dc.date.issued	2009-01	en_US
dc.identifier.citation	Communications on Stochastic Analysis, 2009, 3 (3), pp. 443 - 465	en_US
dc.identifier.issn	0973-9599	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10061
dc.description.abstract	Accurate scenario simulation methods for solutions of multi - dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. Various discrete time simulation methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can be problematic due to systematic errors and numerical instabilities. Therefore, it is valuable to identify multi-dimensional stochastic differential equations with solutions that can be simulated exactly. This avoids several of the theoretical and practical problems encountered by those simulation methods that use discrete time approximations. This paper provides a survey of methods for the exact simulation of paths of some multidimensional solutions of stochastic differential equations including Ornstein- Uhlenbeck, square root, squared Bessel, Wishart and L´evy type processes.	en_US
dc.publisher	Serial Publications	en_US
dc.relation.ispartof	Communications on Stochastic Analysis	en_US
dc.title	Exact scenario simulation for selected multi-dimensional stochastic processes	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	150201 Finance	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	3	en_US
pubs.volume	3	en_US

Abstract:

Accurate scenario simulation methods for solutions of multi - dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. Various discrete time simulation methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can be problematic due to systematic errors and numerical instabilities. Therefore, it is valuable to identify multi-dimensional stochastic differential equations with solutions that can be simulated exactly. This avoids several of the theoretical and practical problems encountered by those simulation methods that use discrete time approximations. This paper provides a survey of methods for the exact simulation of paths of some multidimensional solutions of stochastic differential equations including Ornstein- Uhlenbeck, square root, squared Bessel, Wishart and L´evy type processes.

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http://hdl.handle.net/10453/10061