Corrigendum to “Simple simulation of diffusion bridges with application to likelihood inference for diffusions”

Abstract

We correct an error in Theorem 2.1 in Bladt and Sørensen (Bernoulli 20 (2014) 645–675), where the initial distribution of an auxiliary diffusion process that is used to describe the distribution of the proposed approximate diffusion bridge is wrong. As a consequence, we also correct the pseudo marginal Metropolis-Hastings algorithm that has an exact diffusion bridge as its target distribution. The same auxiliary diffusion plays a central role in the algorithm.