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Advisor(s)
Abstract(s)
The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.
Description
Keywords
Brownian bridge Gaussian processes for machine learning regression Path-dependent Gaussian processes Vectorial simulation
Citation
SOUSA, João Beleza e; ESQUIVEL, M. L.2; GASPAR, R. M. - Brownian bridge and other path-dependent Gaussian processes vectorial simulation. Communications in Statistics-Simulation and Computation. ISSN. 0361-0918. Vol. 44, N.º 10, SI, (2015), pp. 2608-2621
Publisher
Taylor & Francis INC