Two numerical schemes for the simulation of skew diffusions using their resolvent kernelsReportar como inadecuado




Two numerical schemes for the simulation of skew diffusions using their resolvent kernels - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

1 SAGE - Simulations and Algorithms on Grids for Environment Inria Rennes – Bretagne Atlantique , IRISA-D1 - SYSTÈMES LARGE ÉCHELLE

Abstract : We provide two numerical schemes for the sample paths simulation of skew diffusions with piecewise constant coefficients. Both of these schemes use the resolvent kernel. Precisely, the first scheme use only the resolvent kernel while the second use it as less as possible. Moreover, in the second, some sampled positions are exact.

Keywords : first hitting time Brownian bridge Skew Brownian motion generalized diffusions Monte Carlo simulation





Autor: Lionel Lenôtre -

Fuente: https://hal.archives-ouvertes.fr/



DESCARGAR PDF




Documentos relacionados