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

zbMATH Keywords

adaptive rejection samplingconditioned Brownian motiondiffusion bridgeexact Monte Carlo simulation

Mathematics Subject Classification ID

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

Recommendations

• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Simulation of Multivariate Diffusion Bridges
• Exact simulation of diffusions
• Exact simulation problems for jump-diffusions
• Exact simulation of the first-passage time of diffusions

Cites work

• scientific article; zbMATH DE number 5157256 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A factorisation of diffusion measure and finite sample path constructions
• Boundary crossing probability for Brownian motion
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Exact Monte Carlo simulation of killed diffusions
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Exact simulation of diffusions
• Exponential convergence of Langevin distributions and their discrete approximations
• Retrospective exact simulation of diffusion sample paths with applications
• Stochastic differential equations. An introduction with applications.

Cited in

(7)

• Simulation of Multivariate Diffusion Bridges
• A new rejection sampling method without using hat function
• A piecewise deterministic Monte Carlo method for diffusion bridges
• Monte Carlo fusion
• An efficient method to simulate diffusion bridges
• Guided proposals for simulating multi-dimensional diffusion bridges
• Exact simulation problems for jump-diffusions

This page was built for publication: Exact simulation for diffusion bridges: an adaptive approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5169729)