Guided proposals for simulating multi-dimensional diffusion bridges
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Publication:2405130
DOI10.3150/16-BEJ833zbMath1415.65022arXiv1311.3606MaRDI QIDQ2405130
Harry van Zanten, Moritz Schauer, Frank H. van der Meulen
Publication date: 21 September 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.3606
Monte Carlo simulationproposal distributionmultidimensional diffusion bridgeabsolutely continuous laws
Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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