Forward and reverse representations for Markov chains

DOI10.1016/J.SPA.2006.12.002MaRDI QIDQ2372464zbMATH OpenOpenAlexFDO

Authors Grigori N. Milstein, John Schoenmakers, V. G. Spokoiny

Publication date 27 July 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10995/72263

zbMATH Keywords

Monte Carlo simulationestimation of riskforward and reverse Markov chainstransition density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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• Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters

Cited in

(5)

• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• Probability density estimation in stochastic environmental models using reverse representa\-tions
• Simulation of forward-reverse stochastic representations for conditional diffusions
• Backward representation for nonstationary Markov processes with finite state space
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

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