Documents

  • 22298178

    Accepted author manuscript, 1 MB, PDF-document

DOI

A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges are obtained by superimposing an additional guiding term to the drift of the process under consideration. The guiding term is derived via approximation of the target process by a simpler diffusion processes with known transition densities. Acceptance of a proposal can be determined by computing the likelihood ratio between the proposal and the target bridge, which is derived in closed form.We show under general conditions that the likelihood ratio is well defined and show that a class of proposals with guiding term obtained from linear approximations fall under these conditions.
Original languageEnglish
Pages (from-to)2917-2950
Number of pages34
JournalBernoulli: a journal of mathematical statistics and probability
Volume23
Issue number4A
DOIs
Publication statusPublished - 2017

    Research areas

  • Change of measure, Data augmentation, Linear processes, Multidimensional diffusion bridge

ID: 22298178