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Importance sampling techniques for estimation of diffusions models

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Papaspiliopoulos, Omiros and Roberts, Gareth O. (2009) Importance sampling techniques for estimation of diffusions models. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.28).

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Abstract

This article develops a class of Monte Carlo (MC) methods for simulating conditioned
diffusion sample paths, with special emphasis on importance sampling
schemes. We restrict attention to a particular type of conditioned diffusions,
the so-called diffusion bridge processes. The diffusion bridge is the process obtained
by conditioning a diffusion to start and finish at specific values at two
consecutive times t0 < t1.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH): Monte Carlo method, Sampling (Statistics), Diffusion processes
Series Name: Working papers
Publisher: University of Warwick. Centre for Research in Statistical Methodology
Place of Publication: Coventry
Official Date: 2009
Dates:
DateEvent
2009Published
Volume: Vol.2009
Number: No.28
Number of Pages: 26
Status: Not Peer Reviewed
Access rights to Published version: Open Access

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