Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes

被引：1

作者：

de la Cruz, H. ^{[1
]}

Jimenez, J. C. ^{[2
]}

机构：

[1] Fundacao Getulio Vargas, Sch Appl Math, Rio De Janeiro, Brazil

[2] Inst Cibernet Matemat & Fis, Havana, Cuba

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2020年 / 366卷 / 366期

关键词：

Ornstein-Uhlenbeck process; Pathwise simulation; Exact simulation; Stochastic differential equations; DIFFERENTIAL-EQUATIONS; DRIVEN; MODEL;

D O I：

10.1016/j.amc.2019.124734

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The exact pathwise simulation of multidimensional Ornstein-Uhlenbeck processes is considered. We propose two procedures that allow the exact pathwise simulation of this type of processes and, simultaneously, the generation of the underlying Wiener trajectories from the same source of randomness. This is particularly important when both processes are system-components in larger stochastic models, for which the study of pathwise dynamics is required. (C) 2019 Elsevier Inc. All rights reserved.

引用

页数：10

共 50 条

[21] Skew Ornstein-Uhlenbeck processes and their financial applications
Wang, Suxin
Song, Shiyu
Wang, Yongjin
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2015, 273 : 363 - 382
[22] On the spectral density of fractional Ornstein-Uhlenbeck processes
Shi, Shuping
Yu, Jun
Zhang, Chen
JOURNAL OF ECONOMETRICS, 2024, 245 (1-2)
[23] Quickest Detection Problems for Ornstein-Uhlenbeck Processes
Glover, Kristoffer
Peskir, Goran
MATHEMATICS OF OPERATIONS RESEARCH, 2023, 49 (02) : 1045 - 1064
[24] Ornstein-Uhlenbeck Processes Driven by Cylindrical Levy Processes
Riedle, Markus
POTENTIAL ANALYSIS, 2015, 42 (04) : 809 - 838
[25] MARKOV-MODULATED ORNSTEIN-UHLENBECK PROCESSES
Huang, G.
Jansen, H. M.
Mandjes, M.
Spreij, P.
De Turck, K.
ADVANCES IN APPLIED PROBABILITY, 2016, 48 (01) : 235 - 254
[26] Exact asymptotic bias for estimators of the Ornstein-Uhlenbeck process
Bosq D.
Statistical Inference for Stochastic Processes, 2010, 13 (2) : 133 - 145
[27] Statistical inference for generalized Ornstein-Uhlenbeck processes
Belomestny, Denis
Panov, Vladimir
ELECTRONIC JOURNAL OF STATISTICS, 2015, 9 (02): : 1974 - 2006
[28] PRECISE LARGE DEVIATIONS FOR ORNSTEIN-UHLENBECK PROCESSES
Yang, Xiangfeng
KODAI MATHEMATICAL JOURNAL, 2013, 36 (03) : 527 - 535
[29] Exact solutions and asymptotic behaviors for the reflected Wiener, Ornstein-Uhlenbeck and Feller diffusion processes
Giorno, Virginia
Nobile, Amelia G.
MATHEMATICAL BIOSCIENCES AND ENGINEERING, 2023, 20 (08) : 13602 - 13637
[30] The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Grahovac, Danijel
Leonenko, Nikolai N.
Sikorskii, Alla
Taqqu, Murad S.
BERNOULLI, 2019, 25 (03) : 2029 - 2050

← 1 2 3 4 5 →