Sequential Monte Carlo methods for diffusion processes

DOI10.1098/RSPA.2009.0206MaRDI QIDQ4931056zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Estimation of the coefficients of a diffusion from discrete observations

Cited in

(22)

• scientific article; zbMATH DE number 5007617 (Why is no real title available?)
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• Multilevel particle filters for Lévy-driven stochastic differential equations
• Statistical inference for stochastic differential equations
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• Properties of marginal sequential Monte Carlo methods
• Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
• Lookahead strategies for sequential Monte Carlo
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• A piecewise deterministic Monte Carlo method for diffusion bridges
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• Practical Bayesian tomography
• A multilevel approach for stochastic nonlinear optimal control
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
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