Title :
Monte carlo simulation of diffusions
Author_Institution :
Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA, USA
Abstract :
This tutorial is intended to provide an overview of the key algorithms that are used to simulate sample paths of diffusion processes, as well as to offer an understanding of their fundamental approximation properties.
Keywords :
Monte Carlo methods; diffusion; Monte Carlo simulation; approximation properties; diffusion processes; Approximation algorithms; Differential equations; Diffusion processes; Engineering management; Finance; Integral equations; Mathematical model; Random variables; State-space methods; Stochastic processes;
Conference_Titel :
Simulation Conference, 2008. WSC 2008. Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-2707-9
Electronic_ISBN :
978-1-4244-2708-6
DOI :
10.1109/WSC.2008.4736113
