Method for simulating non-linear stochastic differential equations in R¹

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2005
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27590
Resumo: Very few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used.
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spelling Method for simulating non-linear stochastic differential equations in R¹Diffusion ProcessesStatistical Simulation MethodsSimulation-based MethodsEstimationTransition Density EstimationVery few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used.Taylor & Francis Group Ltd.Repositório da Universidade de LisboaNicolau, João2023-04-05T14:33:05Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27590engNicolau, João .(2005). “Method for simulating non-linear stochastic differential equations in R¹”. Journal of Statistical Computation and Simulation, Vol. 75, No. 8: pp. 595–609 .(Search PDF in 2023).10.1080/00949650410001687235info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-09T01:32:19Zoai:www.repository.utl.pt:10400.5/27590Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:03.270075Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Method for simulating non-linear stochastic differential equations in R¹
title Method for simulating non-linear stochastic differential equations in R¹
spellingShingle Method for simulating non-linear stochastic differential equations in R¹
Nicolau, João
Diffusion Processes
Statistical Simulation Methods
Simulation-based Methods
Estimation
Transition Density Estimation
title_short Method for simulating non-linear stochastic differential equations in R¹
title_full Method for simulating non-linear stochastic differential equations in R¹
title_fullStr Method for simulating non-linear stochastic differential equations in R¹
title_full_unstemmed Method for simulating non-linear stochastic differential equations in R¹
title_sort Method for simulating non-linear stochastic differential equations in R¹
author Nicolau, João
author_facet Nicolau, João
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Nicolau, João
dc.subject.por.fl_str_mv Diffusion Processes
Statistical Simulation Methods
Simulation-based Methods
Estimation
Transition Density Estimation
topic Diffusion Processes
Statistical Simulation Methods
Simulation-based Methods
Estimation
Transition Density Estimation
description Very few specific stochastic differential equations have explicitly known solutions. The most common procedure to obtain a simulated path of a solution is based on a discretization of the stochastic differential equations. However, there are some cases where the discrete-time discretization cannot be used. In this article, we propose a new method to simulate the solution of a non-linear stochastic differential equation, which, in principle, is exempt from error of simulation and can be widely applied including in cases where the discrete-time discretization cannot be used.
publishDate 2005
dc.date.none.fl_str_mv 2005
2005-01-01T00:00:00Z
2023-04-05T14:33:05Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27590
url http://hdl.handle.net/10400.5/27590
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Nicolau, João .(2005). “Method for simulating non-linear stochastic differential equations in R¹”. Journal of Statistical Computation and Simulation, Vol. 75, No. 8: pp. 595–609 .(Search PDF in 2023).
10.1080/00949650410001687235
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis Group Ltd.
publisher.none.fl_str_mv Taylor & Francis Group Ltd.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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