sim.bib

@comment{{This file has been generated by bib2bib 1.96}}
@comment{{Command line: bib2bib -ob sim.bib -s year -c select:"sim" Omiros_refs.bib}}
@article{besk:papa:robe:2004,
  author = {Beskos, Alexandros and Papaspiliopoulos, Omiros and Roberts,
              Gareth O.},
  title = {Retrospective exact simulation of diffusion sample paths with
              applications},
  journal = {Bernoulli},
  fjournal = {Bernoulli. Official Journal of the Bernoulli Society for
              Mathematical Statistics and Probability},
  volume = {12},
  year = {2006},
  number = {6},
  pages = {1077--1098},
  issn = {1350-7265},
  mrclass = {65C30 (60G17 60J60)},
  mrnumber = {2274855 (2008c:65011)},
  mrreviewer = {Peter E. Kloeden},
  url = {http://dx.doi.org/10.3150/bj/1165269151},
  select = {sim},
  abstract = {We present an algorithm for exact simulation of a class of It\^o's diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observed diffusions without resorting to any kind of approximation apart from the Monte Carlo error.},
  keywords = {conditioned diffusion processes; discretely observed diffusions; exact simulation; Monte Carlo maximum likelihood; rejection sampling}
}
@article{besk:papa:robe:2008,
  author = {Beskos, Alexandros and Papaspiliopoulos, Omiros and Roberts,
              Gareth O.},
  title = {A factorisation of diffusion measure and finite sample path
              constructions},
  journal = {Methodol. Comput. Appl. Probab.},
  fjournal = {Methodology and Computing in Applied Probability},
  volume = {10},
  year = {2008},
  number = {1},
  pages = {85--104},
  issn = {1387-5841},
  mrclass = {60J60 (60G17 65C05)},
  mrnumber = {2394037 (2008m:60156)},
  mrreviewer = {Peter E. Kloeden},
  url = {http://dx.doi.org/10.1007/s11009-007-9060-4},
  select = {sim},
  abstract = {
In this paper we introduce decompositions of diffusion measure which are used to construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. We consider general classes of scalar time-inhomogeneous diffusions and certain classes of multivariate diffusions. The methodology presented in this paper is based on a novel construction of the Brownian bridge with known range for its extrema, which is of interest on its own right.},
  keywords = {Rejection sampling;
Exact simulation;
Conditioned Brownian motion;
Boundary hitting times}
}
@article{p2p,
  author = {{\L}atuszy{\'n}ski, Krzysztof and Kosmidis, Ioannis and
              Papaspiliopoulos, Omiros and Roberts, Gareth O.},
  title = {Simulating events of unknown probabilities via reverse time
              martingales},
  journal = {Random Structures Algorithms},
  fjournal = {Random Structures \& Algorithms},
  volume = {38},
  year = {2011},
  number = {4},
  pages = {441--452},
  issn = {1042-9832},
  mrclass = {60-08 (60C05 60G42 62D05)},
  mrnumber = {2829311 (2012f:60004)},
  mrreviewer = {Elvira Di Nardo},
  url = {http://dx.doi.org/10.1002/rsa.20333},
  select = {sim},
  abstract = {Let $s \in (0,1)$ be uniquely determined but only its approximations can be obtained with a finite computational effort. Assume one aims to simulate an event of probability $s$. Such settings are often encountered in statistical simulations. We consider two specific examples. First, the exact simulation of non-linear diffusions ([3]). Second, the celebrated Bernoulli factory problem ([10, 13]) of generating an $f(p)$-coin given a sequence $X_1,X_2,\ldots$ of independent tosses of a $p$-coin (with known $f$ and unknown $p$). We describe a general framework and provide algorithms where this kind of problems can be fitted and solved. The algorithms are straightforward to implement and thus allow for effective simulation of desired events of probability $s$. Our methodology links the simulation problem to existence and construction of unbiased estimators.},
  keywords = {Keywords:
    perfect simulation;
    Bernoulli factory;
    retrospective sampling;
    unbiased simulation}
}

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