Exact simulation for diffusion bridges: an adaptive approach

DOI10.1239/JAP/1402578629zbMATH Open1291.65012OpenAlexW2026698899MaRDI QIDQ5169729FDOQ5169729

Authors: Hongsheng Dai 

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1402578629

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zbMATH Keywords

adaptive rejection samplingconditioned Brownian motiondiffusion bridgeexact Monte Carlo simulation

Mathematics Subject Classification ID

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

Cites Work

• Exponential convergence of Langevin distributions and their discrete approximations
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Retrospective exact simulation of diffusion sample paths with applications
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Title not available (Why is that?)
• Exact simulation of diffusions
• Boundary crossing probability for Brownian motion
• Stochastic differential equations. An introduction with applications.
• A factorisation of diffusion measure and finite sample path constructions
• Title not available (Why is that?)
• Exact Monte Carlo simulation of killed diffusions

Cited In (4)

• Monte Carlo fusion
• Guided proposals for simulating multi-dimensional diffusion bridges
• A piecewise deterministic Monte Carlo method for diffusion bridges
• Simulation of Multivariate Diffusion Bridges

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