Essays about: "Yadigar Sekerci"

Found 1 essay containing the words Yadigar Sekerci.

1. 1. Some recent simulation techniques of diffusion bridge

   University essay from Matematiska och systemtekniska institutionen

   Author : Yadigar Sekerci; [2009]
   Keywords : Brownian bridge; diffusion bridge; Brownian motion; stochastic differential equation; simulation; numerical methods; Euler-Maruyama s method; acceptance-rejection method.;

   Abstract : 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! ... READ MORE