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dec 2006 Retrospective exact simulation of diffusion sample paths with applications
Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts
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Bernoulli 12(6): 1077-1098 (dec 2006). DOI: 10.3150/bj/1165269151


We present an algorithm for exact simulation of a class of Itô's diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observed diffusions without resorting to any kind of approximation apart from the Monte Carlo error.


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Alexandros Beskos. Omiros Papaspiliopoulos. Gareth O. Roberts. "Retrospective exact simulation of diffusion sample paths with applications." Bernoulli 12 (6) 1077 - 1098, dec 2006.


Published: dec 2006
First available in Project Euclid: 4 December 2006

zbMATH: 1129.60073
MathSciNet: MR2274855
Digital Object Identifier: 10.3150/bj/1165269151

Keywords: Conditioned diffusion processes , discretely observed diffusions , exact simulation , Monte Carlo maximum likelihood , rejection sampling

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability


Vol.12 • No. 6 • dec 2006
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