• DOI:10.3150/14-BEJ676
Corpus ID: 14174577

On the exact and ε-strong simulation of (jump) diffusions

@article{Pollock2016OnTE,
  title={On the exact and ε-strong simulation of (jump) diffusions},
  author={M. Pollock and A. Johansen and G. Roberts},
  journal={Bernoulli},
  year={2016},
  volume={22},
  pages={794-856}
}

M. Pollock, A. Johansen, G. Roberts

Published 2016

Mathematics

Bernoulli

This paper introduces a framework for simulating finite dimensional representations of (jump) diffusion sample paths over finite intervals, without discretisation error (exactly), in such a way that the sample path can be restored at any finite collection of time points. Within this framework we extend existing exact algorithms and introduce novel adaptive approaches. We consider an application of the methodology developed within this paper which allows the simulation of upper and lower… CONTINUE READING

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