Exact Simulation for Diffusion Bridges: An Adaptive Approach

DOI10.1239/jap/1402578629zbMath1291.65012OpenAlexW2026698899MaRDI QIDQ5169729

Hongsheng Dai

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1402578629

zbMATH Keywords

adaptive rejection samplingconditioned Brownian motiondiffusion bridgeexact Monte Carlo simulation

Mathematics Subject Classification ID

Related Items (1)

Monte Carlo fusion

Cites Work

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• A factorisation of diffusion measure and finite sample path constructions
• Exponential convergence of Langevin distributions and their discrete approximations
• Exact simulation of diffusions
• Retrospective exact simulation of diffusion sample paths with applications
• Boundary crossing probability for Brownian motion
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Exact Monte Carlo simulation of killed diffusions
• Stochastic differential equations. An introduction with applications.

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