Sequential Monte Carlo methods for diffusion processes

DOI10.1098/RSPA.2009.0206zbMATH Open1195.60105OpenAlexW2145793227MaRDI QIDQ4931056FDOQ4931056

Authors: Ajay Jasra, Arnaud Doucet 

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

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zbMATH Keywords

sequential Monte Carloexact simulationstochastic controldiffusions

Mathematics Subject Classification ID

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

Cites Work

• Estimation of the coefficients of a diffusion from discrete observations

Cited In (22)

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• Stochastic optimal control of state constrained systems
• Sequential quasi-Monte Carlo: introduction for non-experts, dimension reduction, application to partly observed diffusion processes
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• Method of sequential mesh on Koopman-Darmois distributions
• Sequential Monte Carlo Methods in Practice
• Multilevel particle filters for Lévy-driven stochastic differential equations
• Statistical inference for stochastic differential equations
• Sequential Monte Carlo methods for option pricing
• Properties of marginal sequential Monte Carlo methods
• Efficient sequential Monte Carlo algorithms for integrated population models
• Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
• Lookahead strategies for sequential Monte Carlo
• A piecewise deterministic Monte Carlo method for diffusion bridges
• Some evaluations for continuous Monte Carlo method by using Brownian hitting process
• Multilevel Particle Filters
• A note on random walks with absorbing barriers and sequential Monte Carlo methods
• Practical Bayesian tomography
• A multilevel approach for stochastic nonlinear optimal control
• Some contributions to sequential Monte Carlo methods for option pricing
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae

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