Simulation of conditioned diffusions
统计理论
2007-06-13 v1 统计理论
摘要
In 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.
引用
@article{arxiv.math/0602455,
title = {Simulation of conditioned diffusions},
author = {Bernard Delyon and Ying Hu},
journal= {arXiv preprint arXiv:math/0602455},
year = {2007}
}