English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

This paper introduces a framework for simulating finite dimensionalrepresentations of (jump) diffusion sample paths over finite intervals, withoutdiscretisation error (exactly), in such a way that the sample path can berestored at any finite collection of time points. Within this framework weextend existing exact algorithms and introduce novel adaptive approaches. Weconsider an application of the methodology developed within this paper whichallows the simulation of upper and lower bounding processes which almost surelyconstrain (jump) diffusion sample paths to any specified tolerance. Wedemonstrate the efficacy of our approach by showing that with finitecomputation it is possible to determine whether or not sample paths crossvarious irregular barriers, simulate to any specified tolerance the firsthitting time of the irregular barrier and simulate killed diffusion samplepaths.

On the exact and $\varepsilon$-strong simulation of (jump) diffusions