Simulation of conditioned diffusion and application to parameter estimation

被引：55

作者：

Delyon, Bernard ^{[1
]}

Hu, Ying ^{[1
]}

机构：

[1] Univ Rennes 1, IRMAR, F-35042 Rennes, France

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 11期

关键词：

simulation; conditioned diffusion; Monte Carlo Markov chain;

D O I：

10.1016/j.spa.2006.04.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1660 / 1675

页数：16

共 8 条

[1]

[Anonymous], 1975, PROBABILITES POTENTI

[2]

Arnold L., 1998, Springer Monographs in Mathematics

[3] BOUNDS FOR FUNDAMENTAL SOLUTION OF A PARABOLIC EQUATION [J].