Simulation of Forward - Reverse Stochastic Representations for Conditional Diffusions
نویسندگان
چکیده
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 introduced in Milstein et al. [Bernoulli 10(2):281–312, 2004] in the context of a forward-reverse transition density estimator. The corresponding Monte Carlo estimators have essentially root-N accuracy, hence they do not suffer from the curse of dimensionality. We provide a detailed convergence analysis and give a numerical example involving the realized variance in a stochastic volatility asset model conditioned on a fixed terminal value of the asset.
منابع مشابه
Simulation of conditional diffusions via forward-reverse stochastic representations
In 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 introduced in Mil...
متن کاملA Complex Design of the Integrated Forward-Reverse Logistics Network under Uncertainty
Design of a logistics network in proper way provides a proper platform for efficient and effective supply chain management. This paper studies a multi-period, multi echelon and multi-product integrated forward-reverse logistics network under uncertainty. First, an efficient complex mixed-integer linear programming (MILP) model by considering some real-world assumptions is developed for the inte...
متن کاملForward-reverse EM algorithm for Markov chains
We develop an EM algorithm for estimating parameters that determine the dynamics of a discrete time Markov chain evolving through a certain measurable state space. As a key tool for the construction of the EM method we develop forward-reverse representations for Markov chains conditioned on a certain terminal state. These representations may be considered as an extension of the earlier work [1]...
متن کاملUsing both Binary and Residue Representations for Achieving Fast Converters in RNS
In this paper, a new method is introduced for improving the efficiency of the Residue Number System, which uses both binary and residue representations in order to represent a number. A residue number system uses the remainder of the division in several different modules. Conversion of a number to smaller ones and carrying out parallel calculations on these numbers greatly increase the speed of...
متن کاملUsing both Binary and Residue Representations for Achieving Fast Converters in RNS
In this paper, a new method is introduced for improving the efficiency of the Residue Number System, which uses both binary and residue representations in order to represent a number. A residue number system uses the remainder of the division in several different modules. Conversion of a number to smaller ones and carrying out parallel calculations on these numbers greatly increase the speed of...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2013