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• W2116772065 abstract "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)." @default.
• W2116772065 created "2016-06-24" @default.
• W2116772065 creator A5091837297 @default.
• W2116772065 date "2015-12-06" @default.
• W2116772065 modified "2023-09-26" @default.
• W2116772065 title "On the exact simulation of (jump) diffusion bridges" @default.
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• W2116772065 doi "https://doi.org/10.5555/2888619.2888657" @default.
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