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.
|Number of pages||14|
|Journal||Communications in Statistics: Simulation and Computation|
|Publication status||Published - Nov 2015|
- Brownian bridge
- Gaussian processes for machine learning regression
- Path-dependent Gaussian processes
- Vectorial simulation