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- W4293580108 abstract "Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms, known as the exact algorithm and based on retrospective rejection sampling ideas, obviate the need for such discretization. In this paper I extend the exact algorithm to apply to a class of diffusions with a finite entrance boundary. The key innovation is that for these models the Bessel process is a more suitable candidate process than the more usually chosen Brownian motion. The algorithm is illustrated by an application to a general diffusion model of population growth, where it simulates paths efficiently, while previous algorithms are impracticable." @default.
- W4293580108 created "2022-08-30" @default.
- W4293580108 creator A5006647251 @default.
- W4293580108 date "2013-11-22" @default.
- W4293580108 modified "2023-09-23" @default.
- W4293580108 title "Exact simulation of the sample paths of a diffusion with a finite entrance boundary" @default.
- W4293580108 doi "https://doi.org/10.48550/arxiv.1311.5777" @default.
- W4293580108 hasPublicationYear "2013" @default.
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