Simulation of conditioned diffusion and application to parameter estimation
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Simulation algorithms for the distribution of certain diffusions conditioned on the future; the Duffing-Van der Pol oscillator is given as application.
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Cites work
- Bounds for the fundamental solution of a parabolic equation
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- On conditional diffusion processes
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
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