Group for Research in Decision Analysis

Two Recursive Simulation Schemes

Duncan Murdoch VU Amsterdam, Netherlands

In this talk I will present two recursive simulation schemes. In the first, our aim is to do exact simulations of functionals of diffusion solutions of stochastic differential equations: the times of events such as extremes and barrier crossings, or multivariate outcomes such as the joint times and values of the minimum and maximum. The second scheme is an adaptive rejection sampler targeted at relatively high dimensional densities. Using recursive partitioning and proposals which are locally independent in each component we construct samplers with high acceptance rates. This is joint work with Tingting Gou and John Braun.