Transition density estimation for stochastic differential equations via forward-reverse representations

Bernoulli

Volumn 10, Issue 2, 2004, Pages 281-312

  Milstein, Grigori N ^a,b   Schoenmakers, John G M ^a   Spokoiny, Vladimir ^a  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b URAL FEDERAL UNIVERSITY   (Russian Federation)

Author keywords

Forward and reverse diffusion; Monte Carlo simulation; Statistical estimation; Transition density

Indexed keywords

EID: 33644476835     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1082380220     Document Type: Article

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