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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).

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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 socalled 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 
Date:  2009 
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Status:  Not Peer Reviewed 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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URI:  http://wrap.warwick.ac.uk/id/eprint/35216 
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