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Some recent simulation techniques of diffusion bridge

<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>

Identiferoai:union.ndltd.org:UPSALLA/oai:DiVA.org:vxu-5749
Date January 2009
CreatorsSekerci, Yadigar
PublisherVäxjö University, School of Mathematics and Systems Engineering
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, text
RelationRapporter från MSI, 1650-2647 ; 09018

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