Simulation of conditioned diffusion and application to parameter estimation

DOI10.1016/j.spa.2006.04.004zbMath1107.60046OpenAlexW2005669468MaRDI QIDQ855929

Ying Hu, Bernard Delyon

Publication date: 7 December 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.04.004

zbMATH Keywords

Monte Carlo Markov Chain

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• On conditional diffusion processes
• Bounds for the fundamental solution of a parabolic equation
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