Simulation of conditioned diffusion and application to parameter estimation (Q855929): Difference between revisions

Simulation algorithms for the distribution of certain diffusions conditioned on the future; the Duffing-Van der Pol oscillator is given as application.

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zbMATH Keywords

Monte Carlo Markov Chain

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full work available at URL

https://doi.org/10.1016/j.spa.2006.04.004

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cites work

Q4210478

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Bounds for the fundamental solution of a parabolic equation

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On conditional diffusion processes

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On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm

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Identifiers

zbMATH Open document ID

1107.60046

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Mathematics Subject Classification ID

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10.1016/J.SPA.2006.04.004

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Sitelinks

Mathematics(1 entry)

mardi Publication:855929

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