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.
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