期刊
BERNOULLI
卷 12, 期 6, 页码 1077-1098出版社
INT STATISTICAL INST
DOI: 10.3150/bj/1165269151
关键词
conditioned diffusion processes; discretely observed diffusions; exact simulation; Monte Carlo maximum likelihood; rejection sampling
资金
- Engineering and Physical Sciences Research Council [GR/S61577/01] Funding Source: researchfish
We present an algorithm for exact simulation of a class of Ito's diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observed diffusions without resorting to any kind of approximation apart from the Monte Carlo error.
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