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!
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:vxu-5749 |
| Date | January 2009 |
| Creators | Sekerci, Yadigar |
| Publisher | Växjö universitet, Matematiska och systemtekniska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Rapporter från MSI, 1650-2647 ; 09018 |
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