Simulation of conditioned diffusion and application to parameter estimation

In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on a terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of another diffusion which is easy for simulation, and the formula for the density is given explicitly. An example of parameter estimation for a Duffing-Van der Pol oscillator is given as an application.

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Year of publication:	2006
Authors:	Delyon, Bernard ; Hu, Ying
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 11, p. 1660-1675
Publisher:	Elsevier
Keywords:	Simulation Conditioned diffusion Monte Carlo Markov Chain

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874069