Timeline for Exact simulation of SDE
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
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| Jul 24, 2022 at 19:01 | history | edited | Glorfindel | CC BY-SA 4.0 |
broken link fixed, cf. https://meta.mathoverflow.net/q/5301/70594
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| Feb 1, 2011 at 16:09 | comment | added | Alekk | there are two approaches: or $X$ has a non constant volatility function $\sigma(\cdot)$, and one can find a good function $\Psi$ such that $\Psi(X_t)$ has a constant volatility function (also known as Lamperti transform). Or one can take a Brownian motion $W$ and find a good function $\Psi$ such that $\Psi(W_t)$ has $\sigma(\cdot)$ as volatility function. These are indeed essentially the same thing. | |
| Feb 1, 2011 at 15:23 | answer | added | Simon Lyons | timeline score: 4 | |
| Feb 1, 2011 at 15:10 | comment | added | Simon Lyons | Did you mean $dZ_t = \hat{\mu}(Z_t)dt + \hat{\sigma} dW_t$, where $\hat{\sigma}$ is constant? | |
| Feb 1, 2011 at 14:59 | history | edited | Alekk | CC BY-SA 2.5 |
rejection-sampling link added
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| Feb 1, 2011 at 11:23 | history | asked | Alekk | CC BY-SA 2.5 |