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SUMMARY:Exact Sampling for Multivariate Diffusions - Jose Blanchet (Columb
 ia University\; Stanford University)
DTSTART:20170707T100000Z
DTEND:20170707T104500Z
UID:TALK73185@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:We provide the first generic exact simulation algorithm for mu
 ltivariate diffusions. Current exact sampling algorithms for diffusions re
 quire the existence of a transformation which can be used to reduce the sa
 mpling problem to the case of a constant diffusion matrix and a drift whic
 h is the gradient of some function. Such transformation\, called Lamperti 
 transformation\, can be applied in general only in one dimension. So\, com
 pletely different ideas are required for exact sampling of generic multiva
 riate diffusions. The development of these ideas is the main contribution 
 of this paper. Our strategy combines techniques borrowed from the theory o
 f rough paths\, on one hand\, and multilevel Monte Carlo on the other.&nbs
 p\;(Joint work with Fan Zhang.)
LOCATION:Seminar Room 1\, Newton Institute
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