Simulation of conditioned diffusions

Details Simulation of conditioned diffusions Simulation of conditioned diffusions

2006-02-21

arxiv.org/abs/math/0602455v1

Mathematics

Statistics Theory

Scientific paper

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.

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