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UID:www.tcs.tifr.res.in/event/448
DTSTAMP:20230914T125925Z
SUMMARY:Exact Simulation of Multidimensional Reflected Diffusions
DESCRIPTION:Speaker: Jose H. Blanchet (Columbia University\nIEOR Department
 \n340 W. Mudd Building\n500 West 120th Street\nNew York\, NY 10027-6699\nU
 nited States of America)\n\nAbstract: \nAbstract: A number of algorithms h
 ave 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 proce
 ss. 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\, multidi
 mensional reflected diffusions\, call for a new methodology. This is mainl
 y 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).\n\n \n
URL:https://www.tcs.tifr.res.in/web/events/448
DTSTART;TZID=Asia/Kolkata:20140121T160000
DTEND;TZID=Asia/Kolkata:20140121T170000
LOCATION:D-405 (D-Block Seminar Room)
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