An efficient method to simulate diffusion bridges

DOI10.1007/s11222-024-10439-zzbMath1542.62007MaRDI QIDQ6581664

T. Nguyen, Phu D-Nguyen, D. H. Nguyen, Herman Chau, Justin Lars Kirkby, N. Nguyen

Publication date: 31 July 2024

Published in: Statistics and Computing (Search for Journal in Brave)

zbMATH Keywords

simulationGaussian processBrownian bridgeOrnstein-Uhlenbeck processgeometric Brownian motionEuler schemestochastic diffusiondiffusion bridge

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

This page was built for publication: An efficient method to simulate diffusion bridges