Simulation of conditioned diffusion and application to parameter estimation

Bernard Delyon and Ying Hu

Stochastic Processes and their Applications, 2006, vol. 116, issue 11, 1660-1675

Abstract: In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on a 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. An example of parameter estimation for a Duffing-Van der Pol oscillator is given as an application.

Keywords: Simulation; Conditioned; diffusion; Monte; Carlo; Markov; Chain (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (7)

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