Markov Bridges, Bisection and Variance Reduction
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Publication:5326098
DOI10.1007/978-3-642-27440-4_1zbMath1272.60057OpenAlexW182198845MaRDI QIDQ5326098
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/44176839/imf_thiele_2011_01.pdf
importance samplingvariance reductionquasi Monte Carlogenerating sample pathsmethods of stratificationtime-continuous Markov jump processes
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Related Items (4)
Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ Bridges with random length: gamma case ⋮ Bayesian Estimation for the Markov-Modulated Diffusion Risk Model ⋮ Simulation of Tempered Stable Lévy Bridges and Its Applications
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Cites Work
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