Exact Simulation of Multidimensional Reflected Diffusions

Speaker: 

Jose H. Blanchet

Affiliation: 

Columbia University
IEOR Department
340 W. Mudd Building
500 West 120th Street
New York, NY 10027-6699
United States of America

Time: 

Tuesday, 21 January 2014, 16:00 to 17:00

Venue: 

Organisers: 

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).