Conditioning diffusions with respect to incomplete observations

Bernard Delyon () and Jean-Louis Marchand ()
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Bernard Delyon: Univ Rennes
Jean-Louis Marchand: Univ Rennes

Statistical Inference for Stochastic Processes, 2023, vol. 26, issue 3, No 2, 499-523

Abstract: Abstract In this paper, we prove a result of equivalence in law between a diffusion conditioned with respect to partial observations and an auxiliary process. By partial observations we mean coordinates (or linear transformation) of the process at a finite collection of deterministic times. Apart from the theoretical interest, this result allows to simulate the conditional diffusion through Monte Carlo methods, using the fact that the auxiliary process is easy to simulate.

Keywords: Conditioned diffusion; Bridge processes; Incomplete observations; Simulation (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11203-023-09287-x

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