🌙

二次强度模型精确模拟的代码与数据仓库

Code and Data Repository for Exact Simulation of Quadratic Intensity Models

INFORMS journal on computing · 2024
被引 0
人大 BUTD24ABS 3

中文导读

提供了R或MATLAB函数形式的代码,用于生成论文中的所有实验结果,包括精确方案与离散化、投影方案的数值对比。

Abstract

The codes can be used to generate all experimental results in this paper. All algorithms (our exact scheme) proposed in this paper are written in the form of functions based on R or MATLAB. We also provide the codes to compare the numerical experiment results by our exact scheme with discretisation scheme and projection scheme. "R_Simulation_Quadratic_OU_N.R" is the main code, and includes all algorithms proposed in our paper, and most numerical experiment results can be plotted by executing this code.

计算机科学金融数学数值模拟算法