On Generating Monte Carlo Samples of Continuous Diffusion Bridges

DOI10.1198/jasa.2010.tm09057zbMath1392.60068OpenAlexW1975978197MaRDI QIDQ5255312

Per Aslak Mykland, Ming Lin, Rong Chen

Publication date: 15 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2010.tm09057

zbMATH Keywords

resamplingsequential Monte Carlostochastic diffusion equationbackward pilotpriority score

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Density estimation (62G07) Nonparametric estimation (62G05) Diffusion processes (60J60)

Related Items (11)

Sequential Monte Carlo with Highly Informative Observations ⋮ Bayesian estimation of incompletely observed diffusions ⋮ Bayesian inference of selection in the Wright-Fisher diffusion model ⋮ Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo ⋮ Improved bridge constructs for stochastic differential equations ⋮ Simple simulation of diffusion bridges with application to likelihood inference for diffusions ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Continuous-discrete smoothing of diffusions ⋮ Simulation of Tempered Stable Lévy Bridges and Its Applications ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Simulation of forward-reverse stochastic representations for conditional diffusions

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