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Method for simulating non-linear stochastic differential equations in R¹
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Orientador(es)
Resumo(s)
Very few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used.
Descrição
Palavras-chave
Diffusion Processes Statistical Simulation Methods Simulation-based Methods Estimation Transition Density Estimation
Contexto Educativo
Citação
Nicolau, João .(2005). “Method for simulating non-linear stochastic differential equations in R¹”. Journal of Statistical Computation and Simulation, Vol. 75, No. 8: pp. 595–609 .(Search PDF in 2023).
Editora
Taylor & Francis Group Ltd.