Sequential Monte Carlo methods for diffusion processes

DOI10.1098/rspa.2009.0206zbMath1195.60105OpenAlexW2145793227MaRDI QIDQ4931056

Arnaud Doucet, Ajay Jasra

Publication date: 2 October 2010

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2009.0206

zbMATH Keywords

stochastic controldiffusionssequential Monte Carloexact simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10) Diffusion processes (60J60)

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Cites Work

• Estimation of the coefficients of a diffusion from discrete observations