Exact simulation of the Wright–Fisher diffusion

Exact simulation of the Wright-Fisher diffusion

The Wright-Fisher family of diffusion processes is a class of evolutionary models widely used in population genetics, with applications also in finance and Bayesian statistics. Simulation and inference from these diffusions is therefore of widespread interest. However, simulating a Wright-Fisher diffusion is difficult because there is no known closed-form formula for its transition function. In...

Retrospective Exact Simulation of Diffusion Sample Paths with Applications

The objective of this paper is to present an algorithm, for exact simulation of a class of Ito’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 observe...

Exact Simulation of Diffusions

We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process. 1. Introduction. Exact simulation of sto...

A Note on the “Simulation of Gas Diffusion in Capillaries and Porous Solids”

Author’s Reply to “A Note on the Simulation of Gas Diffusion in Capillaries and Porous Solids”