Advanced Search
MyIDEAS: Login to save this paper or follow this series

Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes

Contents:

Author Info

Abstract

Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance. They have been playing a crucial role as standard models in various areas and dominate often the communication and thinking in a particular field of application, even that they may be too simple for more advanced tasks. Various discrete time simulation methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can be problematic due to systematic errors and numerical instabilities. Therefore, it is valuable to identify multi-dimensional stochastic differential equations with solutions that can be simulated exactly. This avoids several of the theoretical and practical problems encountered by those simulation methods that use discrete time approximations. This paper provides a survey of methods for the exact simulation of paths of some multi-dimensional solutions of stochastic differential equations including Ornstein-Uhlenbeck, square root, squared Bessel, Wishart and Levy type processes.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp259.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 259.

as in new window
Length: 29
Date of creation: 01 Oct 2009
Date of revision:
Handle: RePEc:uts:rpaper:259

Contact details of provider:
Postal: PO Box 123, Broadway, NSW 2007, Australia
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC

Related research

Keywords: exact scenario simulation; multi-dimensional stochastic differential equations; multi-dimensional Ornstein-Uhlenbeck process; multi-dimensional square root process; multi-dimensional squared Bessel process; Wishart process; multi-dimensional Levy process;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010. "A comparison of biased simulation schemes for stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 177-194.
  2. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Eckhard Platen & Renata Rendek, 2010. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 282, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:259. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.