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- W2022755059 abstract "The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein–Ulenbeck mean reversion process." @default.
- W2022755059 created "2016-06-24" @default.
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- W2022755059 date "2014-07-23" @default.
- W2022755059 modified "2023-09-24" @default.
- W2022755059 title "Brownian Bridge and Other Path-dependent Gaussian Processes Vectorial Simulation" @default.
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- W2022755059 doi "https://doi.org/10.1080/03610918.2014.901352" @default.
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