JSM 2004 - Toronto

Abstract #300021

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2004 Program page
Activity Number: 33
Type: Invited
Date/Time: Sunday, August 8, 2004 : 4:00 PM to 5:50 PM
Sponsor: IMS
Abstract - #300021
Title: Simulating Diffusions
Author(s): Gareth Roberts*+
Companies: Lancaster University
Address: Department of Mathematics and Statistics, Lancaster, International, LA1 4YF, United Kingdom
Keywords:
Abstract:

The talk will show how diffusions (satisfying some regularity conditions) can be simulated exactly without the need for any time discretization. The method is essentially based upon rejection sampling from candidate (and tractable) diffusion candidates. The accepted sample path is produced as a skeleton which can be "filled in" using simple Brownian bridge probabilities to produce values at different times.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2004 program

JSM 2004 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2004