A Factorisation of Diffusion Measure and Finite Sample Path Constructions
By Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts. 2008
125 citations recorded by the source corpus.
Subfields: Artificial Intelligence, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ddba0452aac4dbc8cdb5cc5693d2631f648528df
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Artificial Intelligence
- Omiros Papaspiliopoulos
- Gareth O. Roberts
- Adam M. Johansen
- Murray Pollock
- Alexandros Beskos
- Paul Fearnhead
- Chenxu Li
- K. Latuszy'nski
In Finance
- Omiros Papaspiliopoulos
- Gareth O. Roberts
- Alexandros Beskos
- Adam M. Johansen
- Murray Pollock
- Chenxu Li
- Osnat Stramer
- Ia Matthew Bognar
In Management Science and Operations Research
Citations in the corpus
- On the exact and ε-strong simulation of (jump) diffusions (2013, methodology): “In developing a methodological framework for simulating exact skeletons of (jump) diffusion sample paths we are able to present a number of significant extensions to the existing literature on exact algorithms [5,6,13,20].”
- Monte Carlo Maximum Likelihood Estimation for Discretely Observed Diffusion Processes (2009, background): “Relevant to this direction are undergoing developments in EA [6].”