Improved bridge constructs for stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Improved bridge constructs for stochastic differential equations
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an Itô stochastic differential equation conditional on anobservation taken at afixed future time-point. Such realisations are typically termed diffusion bridges. Since, in general, no closed form expression exists for the transition densities of the process of interest, a widel...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2016
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-016-9660-3