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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!

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:vxu-5749
Date January 2009
CreatorsSekerci, Yadigar
PublisherVäxjö universitet, Matematiska och systemtekniska institutionen
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess
RelationRapporter från MSI, 1650-2647 ; 09018

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