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| HAL : hal-00451446, version 1 |
| DOI : 10.1016/j.spa.2006.04.004 |
| Fiche détaillée |  Récupérer au format |
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| Stochastic Processes and their Applications 116, 11 (2006) 1660-1675 |
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| Simulation of conditioned diffusion and application to parameter estimation |
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| Bernard Delyon 1Ying Hu 1 |
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| (2006) |
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| In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on a 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. An example of parameter estimation for a Duffing-Van der Pol oscillator is given as an application |
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| 1 : | Institut de Recherche Mathématique de Rennes (IRMAR) |
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CNRS : UMR6625 – Université de Rennes 1 – École normale supérieure de Cachan - ENS Cachan – Institut National des Sciences Appliquées (INSA) : - RENNES – Université de Rennes II - Haute Bretagne |
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| hal-00451446, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00451446 | |
| oai:hal.archives-ouvertes.fr:hal-00451446 | |
| Contributeur : Maryse Collin | |
| Soumis le : Vendredi 29 Janvier 2010, 10:25:46 | |
| Dernière modification le : Mardi 23 Mars 2010, 09:52:19 | |
