Retrospective exact simulation of diffusion sample paths with applications

DOI10.3150/BJ/1165269151zbMath1129.60073OpenAlexW2015510160MaRDI QIDQ2642805

Alexandros Beskos, Gareth O. Roberts, Omiros Papaspiliopoulos

Publication date: 5 September 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1165269151

zbMATH Keywords

exact conditioned diffusion process discretely observed diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17)

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