A note on the existence of a closed form conditional transition density for the Milstein scheme
Year of publication: |
1998-10-01
|
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Authors: | Elerian, Ola |
Institutions: | Department of Economics, Oxford University |
Subject: | Bayes estimation | nonlinear diffusion | Euler-Maruyama approximation | Maximum Likelihood | Markov chain Monte Carlo | Metropolis Hastings algorithm | Milstein scheme | Simulation | Stochastic Differential Equation |
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