Importance sampling techniques for estimation of diffusions models
作者： Omiros Papaspiliopoulos , Gareth O. Roberts
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摘要: 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 particular type conditioned diffusions, the so-called diffusion bridge processes. The is the process obtained by conditioning start and finish at specific values two consecutive times t0 < t1.
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