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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 2 of 2 (0.062 seconds)

Spelling suggestions: "subject:"maruyama's method"" "subject:"muruyama's method""

1

Some recent simulation techniques of diffusion bridge

Sekerci, Yadigar January 2009 (has links)
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!
Brownian bridge
diffusion bridge
Brownian motion
stochastic differential equation
simulation
numerical methods
Euler-Maruyama's method
acceptance-rejection method.
Mathematical statistics
Matematisk statistik
2

Some recent simulation techniques of diffusion bridge

Sekerci, Yadigar January 2009 (has links)
<p>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!</p>
Brownian bridge
diffusion bridge
Brownian motion
stochastic differential equation
simulation
numerical methods
Euler-Maruyama's method
acceptance-rejection method.
Mathematical statistics
Matematisk statistik

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