Markov Chain Monte Carlo for Exact Inference for Diffusions
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Publication:4923056
DOI10.1111/j.1467-9469.2012.00812.xzbMath1328.65015arXiv1102.5541OpenAlexW2164356516MaRDI QIDQ4923056
Alexandros Beskos, Giorgos Sermaidis, Paul Fearnhead, Gareth O. Roberts, Omiros Papaspiliopoulos
Publication date: 5 June 2013
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.5541
stochastic differential equationMarkov chain Monte Carlotransition densityexact inferenceexact simulation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60)
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Uses Software
Cites Work
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- References
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