桥式抽样的Beta近似

2008 Winter Simulation Conference Pub Date : 2008-12-07 DOI:10.1109/WSC.2008.4736115

P. Glasserman, K. Kim

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引用次数: 2

摘要

考虑当X和Y是独立的正随机变量时，以X+Y的值为条件模拟X的问题。我们通过用一个beta随机变量逼近分数(X/z|X+ Y=z)，提出了采样(X|X+Y = Y)的近似方法。我们讨论了Levy过程和无限可分分布的应用，并报告了泊松过程、回火稳定过程和赫斯顿随机波动模型的数值试验。

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Beta approximations for bridge sampling

We consider the problem of simulating X conditional on the value of X+Y, when X and Y are independent positive random variables. We propose approximate methods for sampling (X|X+Y) by approximating the fraction (X/z|X+ Y=z) with a beta random variable. We discuss applications to Levy processes and infinitely divisible distributions, and we report numerical tests for Poisson processes, tempered stable processes, and the Heston stochastic volatility model.

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2008 Winter Simulation Conference

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