Beskos, A;
Papaspiliopoulos, O;
Roberts, GO;
(2006)
Retrospective exact simulation of diffusion sample paths with applications.
Bernoulli
, 12
(6)
pp. 1077-1098.
10.3150/bj/1165269151.
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Abstract
We present an algorithm for exact simulation of a class of Itô'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 |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.3150/bj/1165269151 |
| Publisher version: | https://doi.org/10.3150/bj/1165269151 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10050411 |
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