Some recent simulation techniques of diffusion bridge
We apply some recent numerical solutions to diffusion bridges written in Iacus (2008). One is an approximate scheme from Bladt and S{\o}rensen (2007), another one, from Beskos et al (2006), is an algorithm which is exact: no numerical error at given grid points!
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| Format: | Others |
| Language: | English |
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Växjö universitet, Matematiska och systemtekniska institutionen
2009
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-5749 |