Simple simulation of diffusion bridges with application to likelihood inference for diffusions Mogens Bladt

Abstract

With a view to likelihood inference for discretely observed diffusion type models, we propose a simple method of simulating approximations to diffusion bridges. The method is applicable to all one-dimensional diffusion processes and has the advantage that simple simulation methods like the Euler scheme can be applied to bridge simulation. Another advantage… (More)

11 Figures and Tables

Topics

  • Presentations referencing similar topics