Presented by:
Jose Blanchet
Date:
Friday 7th July 2017 - 11:00 to 11:45
Venue:
INI Seminar Room 1
Abstract:
We provide the first generic exact simulation algorithm for multivariate diffusions.
Current exact sampling algorithms for diffusions require the existence of a transformation which
can be used to reduce the sampling problem to the case of a constant diffusion matrix and a drift
which is the gradient of some function. Such transformation, called Lamperti transformation, can
be applied in general only in one dimension. So, completely different ideas are required for exact
sampling of generic multivariate diffusions. The development of these ideas is the main contribution
of this paper. Our strategy combines techniques borrowed from the theory of rough paths, on one
hand, and multilevel Monte Carlo on the other. (Joint work with Fan Zhang.)
The video for this talk should appear here if JavaScript is enabled.
If it doesn't, something may have gone wrong with our embedded player.
We'll get it fixed as soon as possible.
If it doesn't, something may have gone wrong with our embedded player.
We'll get it fixed as soon as possible.