Searched for: subject%3A%22Multidimensional%255C+diffusion%255C+bridge%22
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Schauer, M.R. (author), van der Meulen, F.H. (author), Van Zanten, Harry (author)
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...
journal article 2017
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van der Meulen, F.H. (author), Schauer, M.R. (author)
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 data problem where the diffusion bridges in between discrete-time observations are missing. The...
journal article 2017
document
van der Meulen, F.H. (author), Schauer, M.R. (author)
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is...
journal article 2017