Brownian Bridge and Other Path-dependent Gaussian Processes Vectorial Simulation

Jorge A. M. Sousa, M. L. Esquível, R. M. Gaspar

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)2608-2621
Number of pages14
JournalCommunications in Statistics: Simulation and Computation
Volume44
Issue number10
DOIs
Publication statusPublished - Nov 2015

Keywords

  • Brownian bridge
  • Gaussian processes for machine learning regression
  • Path-dependent Gaussian processes
  • Vectorial simulation

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