Exact Simulation of Multidimensional Reflected Diffusions

Sandeep K Juneja
Tuesday, 21 Jan 2014, 16:00 to 17:00
D-405 (D-Block Seminar Room)
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).