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Some problems in the simulation of nonlinear diffusion processes

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  • Ogawa, Shigeyoshi

Abstract

This is a continuation of the preceding article Ogawa (1992), where we discussed some basic problems arising in the simulation of nonlinear diffusion procsses. In this paper, we give the improvements of the simulation procedure in the discretization scheme and in the density estiamtion procedure.

Suggested Citation

  • Ogawa, Shigeyoshi, 1995. "Some problems in the simulation of nonlinear diffusion processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 217-223.
    • Handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:217-223
    DOI: 10.1016/0378-4754(93)E0085-J
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    References listed on IDEAS

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    1. P. E. Kloeden & Eckhard Platen, 1989. "A survey of numerical methods for stochastic differential equations," Published Paper Series 1989-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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    Cited by:

    1. Akahori, Jirô & Kinuya, Masahiro & Sawai, Takashi & Yuasa, Tomooki, 2021. "An efficient weak Euler–Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 187(C), pages 540-565.
    2. Kohatsu-Higa Arturo & Ogawa Shigeyoshi, 1997. "Weak rate of convergence for an Euler scheme of nonlinear SDE’s," Monte Carlo Methods and Applications, De Gruyter, vol. 3(4), pages 327-346, December.
    3. Brandt, Michael W. & Santa-Clara, Pedro, 2002. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets," Journal of Financial Economics, Elsevier, vol. 63(2), pages 161-210, February.

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