Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes

DOI10.1007/s11009-006-9006-2zbMath1134.60369OpenAlexW2091373981MaRDI QIDQ2475266

Jun Yan, Osnat Stramer

Publication date: 11 March 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-006-9006-2

zbMATH Keywords

Monte Carlodiffusion processtransition density

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60)

Related Items (6)

A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations ⋮ Globally optimal parameter estimates for nonlinear diffusions ⋮ On the approximate maximum likelihood estimation for diffusion processes ⋮ Bayesian inference for nonlinear multivariate diffusion models observed with error ⋮ Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) ⋮ Bayesian inference for Markov jump processes with informative observations

Cites Work

• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
• Efficient Monte Carlo simulation of security prices
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• A Theory of the Term Structure of Interest Rates
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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