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| Título | Brownian bridge vectorial simulation |
| Publication Type | Unpublished |
| Year of Publication | 2012 |
| Authors | Sousa BJ, Esqu ML, Gaspar RM |
| Series Title | Preprint |
| Abstract | The iterative simulation of the Brownian bridge is well known. In this paper we present a vectorial simulation alternative. The vectorial alternative is based on Gaussian processes for machine learning regression and is suitable for interpreted programming languages implementations. We extend the vectorial simulation to other Gaussian processes, namely, sequences of Brownian bridges, path dependent geometric Brownian motion and path dependent Ornstein-Ulenbeck mean reversion process. |
| URL | http://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2012/4_12.pdf |