Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions

DOI10.3150/bj/1082380220zbMath1085.62098OpenAlexW2032894334MaRDI QIDQ1769777

Grigori N. Milstein, Vladimir Spokoiny, John G. M. Schoenmakers

Publication date: 30 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1082380220

zbMATH Keywords

kernel estimatorsMonte Carlo simulationtransition densitystatistical estimationforward and reverse diffusion

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (15)

Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Forward and reverse representations for Markov chains ⋮ Multilevel Monte Carlo Approximation of Distribution Functions and Densities ⋮ Stochastic estimation of Green's functions with application to diffusion and advection-diffusion-reaction problems ⋮ A stochastic differential equation code for multidimensional Fokker-Planck type problems ⋮ The estimation of probability distribution of SDE by only one sample trajectory ⋮ Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes ⋮ Solving parabolic stochastic partial differential equations via averaging over characteristics ⋮ Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters ⋮ An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks ⋮ Monte Carlo methods for backward equations in nonlinear filtering ⋮ Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis ⋮ Simulation of forward-reverse stochastic representations for conditional diffusions ⋮ MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES ⋮ A Convergent Interacting Particle Method and Computation of KPP Front Speeds in Chaotic Flows

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