Simulation of Multivariate Diffusion Bridges

DOI10.1111/rssb.12118zbMath1414.62085arXiv1405.7728OpenAlexW1588437162MaRDI QIDQ5378357

Mogens Bladt, Samuel Finch, Michael Sørensen

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7728

zbMATH Keywords

stochastic differential equationtime reversalcouplingBayesian inferencelikelihood inferencediscretely sampled diffusions

Mathematics Subject Classification ID

Bayesian inference (62F15) Diffusion processes (60J60)

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