Search Results - subject:"transition density estimation"

Forward and reverse representations for Markov chains

Milstein, Grigori; Schoenmakers, John; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

. N. Milsteinb, J.G.M. Schoenmakersa, V. Spokoinya y May 2, 2006 Keywords: transition density estimation, forward and … interacting Markov processes are considered in Milstein (1978). 22 9 Forward-reverse transition density estimation with ….N., Schoenmakers, J.G.M., Spokoiny, V., Transition density estimation for stochastic difierential equations via forward-reverse repre …

Persistent link: https://www.econbiz.de/10005678040

Forward and reverse representations for Markov chains

Milstein, Grigori N.; Schoenmakers, John G. M.; … - 2006

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...

Persistent link: https://www.econbiz.de/10010263637