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Exact simulation of diffusions

Alexandros Beskos·Gareth O. Roberts
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Abstract

We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.

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Alexandros Beskos, Gareth O. Roberts. 2006-02-23. Exact simulation of diffusions. https://doi.org/10.1214/105051605000000485

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