A factorisation of diffusion measure and finite sample path constructions
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Publication:937166
DOI10.1007/S11009-007-9060-4zbMATH Open1152.65013OpenAlexW2086676546MaRDI QIDQ937166FDOQ937166
Authors: Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts 
Publication date: 20 August 2008
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/10049806/
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Cites Work
- Retrospective exact simulation of diffusion sample paths with applications
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- The joint density of the maximum and its location for a Wiener process with drift
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- Heuristic Approach to the Kolmogorov-Smirnov Theorems
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Exact simulation of diffusions
- Boundary crossing probability for Brownian motion
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Cited In (39)
- Flexible Bayesian inference for diffusion processesusing splines
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Monte Carlo fusion
- Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
- Markov chain Monte Carlo for exact inference for diffusions
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Stability of partially implicit Langevin schemes and their MCMC variants
- Exact simulation of the first-passage time of diffusions
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Systematic physics constrained parameter estimation of stochastic differential equations
- Exact simulation of coupled Wright–Fisher diffusions
- Markov Bridges, Bisection and Variance Reduction
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- Exact simulation of the 3/2 model
- Statistical inference for stochastic differential equations
- \(\varepsilon\)-strong simulation of the Brownian path
- Exact simulation of first exit times for one-dimensional diffusion processes
- Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions
- Exact sampling of diffusions with a discontinuity in the drift
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- Simulating events of unknown probabilities via reverse time martingales
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Exact Bayesian Inference for Diffusion-Driven Cox Processes
- Exact simulation problems for jump-diffusions
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Exact simulation for diffusion bridges: an adaptive approach
- Bayesian inference of selection in the Wright-Fisher diffusion model
- The strong weak convergence of the quasi-EA
- Factorization of Diffusions on Fibre Bundles
- Sampling Brownian house-moving
- The computational cost of blocking for sampling discretely observed diffusions
- On exact simulation algorithms for some distributions related to Brownian motion and Brownian meanders
- Exact Monte Carlo simulation of killed diffusions
- Exact simulation of the first passage time through a given level of jump diffusions
- Barker's algorithm for Bayesian inference with intractable likelihoods
- A study of the efficiency of exact methods for diffusion simulation
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- CLTs and asymptotic variance of time-sampled Markov chains
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
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