Advanced search
Found 1 essay matching the above criteria.
-
1. Simulation of diffusion bridges for stochastic differential equations
University essay from Lunds universitet/Matematisk statistikAbstract : 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
Result pages:
1