Tata Institute of Fundamental Research
Exact Simulation of Multidimensional Reflected Diffusions
Seminar
Speaker:
Jose H. Blanchet (Columbia University
IEOR Department
340 W. Mudd Building
500 West 120th Street
New York, NY 10027-6699
United States of America)
Organiser:
Sandeep K Juneja
Date:
Tuesday, 21 Jan 2014, 16:00 to 17:00
Venue:
D-405 (D-Block Seminar Room)
(Scan to add to calendar)
Abstract:
Abstract: A number of algorithms have been produced recently to simulate exactly from diffusions (typically one dimensional). A key idea in all of these algorithms is to propose from a process which is absolutely continuous with respect to the target process. The likelihood ratio can often be suitably localized and the so-called acceptance step can be executed using a thinning procedure. While similar strategies can be used for one dimensional reflected diffusions, multidimensional reflected diffusions, call for a new methodology. This is mainly because there is no simulatable process that can be used as a proposal. In this talk we explain this new methodology (this talk is based on joint work with Chris Dolan and Karthyek Murthy).
| Speaker: | Jose H. Blanchet (Columbia University IEOR Department 340 W. Mudd Building 500 West 120th Street New York, NY 10027-6699 United States of America) |
| Organiser: | Sandeep K Juneja |
| Date: | Tuesday, 21 Jan 2014, 16:00 to 17:00 |
| Venue: | D-405 (D-Block Seminar Room) |
(Scan to add to calendar)
Abstract:
Abstract: A number of algorithms have been produced recently to simulate exactly from diffusions (typically one dimensional). A key idea in all of these algorithms is to propose from a process which is absolutely continuous with respect to the target process. The likelihood ratio can often be suitably localized and the so-called acceptance step can be executed using a thinning procedure. While similar strategies can be used for one dimensional reflected diffusions, multidimensional reflected diffusions, call for a new methodology. This is mainly because there is no simulatable process that can be used as a proposal. In this talk we explain this new methodology (this talk is based on joint work with Chris Dolan and Karthyek Murthy).