Essays about: "MarkovchainMonteCarlo"

Found 1 essay containing the word MarkovchainMonteCarlo.

1. 1. Simulation of diffusion bridges for stochastic differential equations

   University essay from Lunds universitet/Matematisk statistik

   Author : Daniel Damberg; [2017]
   Keywords : Diffusionbridge; MarkovchainMonteCarlo; Stochasticdifferentialequation; Linear noise approximation; Mathematics and Statistics;

   Abstract : The simulation of diffusion bridges is a difficult statistical problem, and methods for this are attracting a great deal of attention. Analytically, the conditioning on a future pointintroducesasecondtermtothedriftoftheSDEthatincludesthetransitiondensity of the unconditioned process. READ MORE