Simple simulation of diffusion bridges with application to likelihood inference for diffusions

DOI10.3150/12-BEJ501zbMath1398.60086arXiv1403.1762MaRDI QIDQ2448707

Michael Sørensen, Mogens Bladt

Publication date: 5 May 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1762

zbMATH Keywords

Metropolis-Hastings algorithmMilstein schemeexact diffusion bridges

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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