A factorisation of diffusion measure and finite sample path constructions
The authors give a novel construction of the Brownian bridge with known range for its extrema. On the basis of this, they introduce decompositions of diffusion measure and, further, construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. In comparison with \textit{A.~Beskos} and \textit{G.~O.~Roberts} [Ann. Appl. Probab. 15, No.~4, 2422--2444 (2005; Zbl 1101.60060)] and with \textit{A.~Beskos}, \textit{O.~Papaspiliopoulos}, and \textit{G.~O.~Roberts} [Bernoulli 12, No.~6, 1077--1098 (2006; Zbl 1129.60073)], there are now: ``probabilistic results on the absolute maximum of Brownian paths and the maximum of Bessel process paths; a novel rejection sampling algorithm for the simulation of Brownian paths with known range (from the introduction).
- Exact simulation of diffusions
- \(\varepsilon\)-strong simulation of the Brownian path
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Exact simulation of the first-passage time of diffusions
- Retrospective exact simulation of diffusion sample paths with applications
- Boundary crossing probability for Brownian motion
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Exact simulation of diffusions
- Heuristic Approach to the Kolmogorov-Smirnov Theorems
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 563055 (Why is no real title available?)
- scientific article; zbMATH DE number 227027 (Why is no real title available?)
- Retrospective exact simulation of diffusion sample paths with applications
- The joint density of the maximum and its location for a Wiener process with drift
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Systematic physics constrained parameter estimation of stochastic differential equations
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- Bayesian inference of selection in the Wright-Fisher diffusion model
- Barker's algorithm for Bayesian inference with intractable likelihoods
- \(\varepsilon\)-strong simulation of the Brownian path
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- CLTs and asymptotic variance of time-sampled Markov chains
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- Exact simulation of the first passage time through a given level of jump diffusions
- Exact simulation of the first-passage time of diffusions
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions
- Exact simulation problems for jump-diffusions
- On the exact and -strong simulation of (jump) diffusions
- The computational cost of blocking for sampling discretely observed diffusions
- On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders
- Exact simulation of the 3/2 model
- The strong weak convergence of the quasi-EA
- Stability of partially implicit Langevin schemes and their MCMC variants
- Factorization of Diffusions on Fibre Bundles
- Markov chain Monte Carlo for exact inference for diffusions
- Monte Carlo fusion
- Exact simulation of coupled Wright–Fisher diffusions
- Sampling Brownian house-moving
- Exact simulation of first exit times for one-dimensional diffusion processes
- Exact simulation for diffusion bridges: an adaptive approach
- Exact sampling of diffusions with a discontinuity in the drift
- Simulating events of unknown probabilities via reverse time martingales
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Markov Bridges, Bisection and Variance Reduction
- A study of the efficiency of exact methods for diffusion simulation
- Exact Monte Carlo simulation of killed diffusions
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Flexible Bayesian inference for diffusion processesusing splines
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Statistical inference for stochastic differential equations
- Exact Bayesian Inference for Diffusion-Driven Cox Processes
- Statistical disaggregation -- a Monte Carlo approach for imputation under constraints
- Diffusion simulation via Green function evaluation
- Simulating diffusion bridges using the Wiener chaos expansion
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