Simulation of forward-reverse stochastic representations for conditional diffusions
نویسندگان
چکیده
منابع مشابه
Simulation of Forward - Reverse Stochastic Representations for Conditional Diffusions
AbstractIn this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point or more generally with respect to some subset. The representations rely on a reverse process connected with the given (forward) diffusion as introduce...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2014
ISSN: 1050-5164
DOI: 10.1214/13-aap969