Papaspiliopoulos, Omiros and Roberts, Gareth O. (2009) Importance sampling techniques for estimation of diffusions models. Working Paper. University of Warwick. Centre for Research in Statistical Methodology, Coventry.

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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
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Status:	Not Peer Reviewed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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