Blanchet, J.H. Some open problems in exact simulation of stochastic differential equations. Queueing Syst 100, 509–511 (2022). https://doi.org/10.1007/s11134-022-09835-x
Abstract
The first algorithm for exact sampling of SDEs in appeared in [2], under suitable boundedness assumptions. These assumptions were significantly weakened in [1] and further relaxed using a localization technique in [6], but using essentially the same sampling strategy as in [2]. The overall strategy in [2] relies on two essential properties which are non-restrictive in, but are very restrictive in the multidimensional setting. The first is the existence of an invertible transformation (ie, the Lamperti transformation) which, when applied to the process, results in a diffusion process with a constant diffusion matrix. Moreover, after this transformation is performed, the resulting drift coefficient of the transformed diffusion must be of gradient form.
Authors
Jose H Blanchet
Publication date
2022/4
Journal
Queueing Systems
Volume
100
Issue
3
Pages
509-511
Publisher
Springer US
Description
2 Discussion
