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Retrospective exact simulation of diffusion sample paths with applications

Beskos, A; Papaspiliopoulos, O; Roberts, GO; (2006) Retrospective exact simulation of diffusion sample paths with applications. BERNOULLI , 12 (6) 1077 - 1098.

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Abstract

We present an algorithm for exact simulation of a class of Ito's diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observed diffusions without resorting to any kind of approximation apart from the Monte Carlo error.

Type: Article
Title: Retrospective exact simulation of diffusion sample paths with applications
Keywords: conditioned diffusion processes, discretely observed diffusions, exact simulation, Monte Carlo maximum likelihood, rejection sampling, INFERENCE
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences
UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/147726
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