Simulation of conditioned diffusions

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dc.creatorDelyon, Bernard
dc.creatorHu, Ying
dc.date2006-02-21
dc.date.accessioned2026-07-07T08:07:35Z
dc.date.available2026-07-07T08:07:35Z
dc.descriptionIn this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of another diffusion which is easy for simulation, and the formula for the density is given explicitly.
dc.identifierhttps://arxiv.org/abs/math/0602455
dc.identifierhttp://arxiv.org/abs/math/0602455
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130981
dc.subjectStatistics Theory
dc.subject62M05
dc.titleSimulation of conditioned diffusions
dc.typetext

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