Forward and reverse representations for Markov chains

DOI10.1016/j.spa.2006.12.002zbMath1116.62083OpenAlexW2159755347MaRDI QIDQ2372464

John G. M. Schoenmakers, Grigori N. Milstein, Vladimir 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)

Related Items (3)

First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process ⋮ Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis ⋮ Simulation of forward-reverse stochastic representations for conditional diffusions

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