Simulation of conditioned diffusion and application to parameter estimation

Stochastic Processes and their Applications

Volumn 116, Issue 11, 2006, Pages 1660-1675

  Delyon, Bernard ^a   Hu, Ying ^a  

^a UNIVERSITÉ DE RENNES 1   (France)

Author keywords

Conditioned diffusion; Monte Carlo Markov Chain; Simulation

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; MARKOV PROCESSES; MONTE CARLO METHODS; OSCILLATORS (ELECTRONIC); PARAMETER ESTIMATION; THEOREM PROVING;

DUFFING-VAN DER POL OSCILLATORS; MONTE CARLO MARKOV CHAIN;

DIFFUSION;

EID: 33749234368     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2006.04.004     Document Type: Article

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