Conditioning diffusions with respect to incomplete observations

DOI10.1007/s11203-023-09287-xMaRDI QIDQ6190220

Bernard Delyon, J.-L. Marchand

Publication date: 6 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

zbMATH Keywords

simulationincomplete observationsbridge processesconditioned diffusion

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A famous nonlinear stochastic equation (Lotka-Volterra model with diffusion)
• Estimation of diffusion parameters for discretely observed diffusion processes
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Simulation of conditioned diffusion and application to parameter estimation
• Density estimates for a random noise propagating through a chain of differential equations
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Continuous-discrete smoothing of diffusions
• Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
• Multidimensional diffusion processes.
• Stochastic differential equation models for tumor population growth
• On conditional diffusion processes
• Simulation of elliptic and hypo-elliptic conditional diffusions
• MCMC METHODS FOR DIFFUSION BRIDGES
• Maximum likelihood estimation of a time-inhomogeneous stochastic differential model of glucose dynamics
• Asymptotic Statistics
• Introduction to Stochastic Models in Biology
• Bayesian estimation of incompletely observed diffusions
• Bounds for the fundamental solution of a parabolic equation
• Stochastic volatility and the goodness-of-fit of the Heston model
• Probability

This page was built for publication: Conditioning diffusions with respect to incomplete observations