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Casella, Bruno; Roberts, Gareth O. (2008)
Publisher: University of Warwick. Centre for Research in Statistical Methodology
Languages: English
Types: Book
Subjects: QA
We introduce a novel algorithm (JEA) to simulate exactly from a\ud class of one-dimensional jump-diffusion processes with state-dependent\ud intensity. The simulation of the continuous component builds on the\ud recent Exact Algorithm ((1)). The simulation of the jump component\ud instead employes a thinning algorithm with stochastic acceptance\ud probabilities in the spirit of (14). In turn JEA allows unbiased Monte\ud Carlo simulation of a wide class of functionals of the process’ trajectory, including discrete averages, max/min, crossing events, hitting\ud times. Our numerical experiments show that the method outperforms\ud Monte Carlo methods based on the Euler discretization.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

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