Related papers: On extension of the Markov chain approximation met…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
The Feynman-Kac formula provides a way to understand solutions to elliptic partial differential equations in terms of expectations of continuous time Markov processes. This connection allows for the creation of numerical schemes for…
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac operator associated with a sticky diffusion and first passage…
The Feynman-Kac Operator Expectation Estimator (FKEE) is an innovative method for estimating the target Mathematical Expectation $\mathbb{E}_{X\sim P}[f(X)]$ without relying on a large number of samples, in contrast to the commonly used…
We perform a thorough analysis of the relationship between discrete and series representation path integral methods, which are the main numerical techniques used in connection with the Feynman-Kac formula. First, a new interpretation of the…
We present a numerical method to compute expectations of functionals of a piecewise-deterministic Markov process. We discuss time dependent functionals as well as deterministic time horizon problems. Our approach is based on the…
This paper introduces a new algorithm for numerically computing equilibrium (i.e. stationary) distributions for Markov chains and Markov jump processes with either a very large finite state space or a countably infinite state space. The…
We propose a method to approximate continuous-time, continuous-state stochastic processes by a discrete-time Markov chain defined on a nonuniform grid. Our method provides exact moment matching for processes whose first and second moments…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…
We propose a method based on continuous time Markov chain approximation to compute the distribution of Parisian stopping times and price Parisian options under general one-dimensional Markov processes. We prove the convergence of the method…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…
In this paper we propose a new method for approximating the nonstationary moment dynamics of one dimensional Markovian birth-death processes. By expanding the transition probabilities of the Markov process in terms of Poisson-Charlier…
The goal of this work is to formally abstract a Markov process evolving in discrete time over a general state space as a finite-state Markov chain, with the objective of precisely approximating its state probability distribution in time,…
The model consists of a signal process $X$ which is a general Brownian diffusion process and an observation process $Y$, also a diffusion process, which is supposed to be correlated to the signal process. We suppose that the process $Y$ is…
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high-dimensional parabolic…
An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on…
Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…
The {\alpha}-stable L\'evy process, commonly used to describe L\'evy flight, is characterized by discontinuous jumps and is widely used to model anomalous transport phenomena. In this study, we investigate the associated exit problem and…
Modelling random dynamical systems in continuous time, diffusion processes are a powerful tool in many areas of science. Model parameters can be estimated from time-discretely observed processes using Markov chain Monte Carlo (MCMC) methods…