Please use this identifier to cite or link to this item:
http://elar.urfu.ru/handle/10995/111709
Title: | Transition Density Estimation for Stochastic Differential Equations Via Forward-reverse Representations |
Authors: | Milstein, G. N. Schoenmakers, J. G. M. Spokoiny, V. |
Issue Date: | 2004 |
Publisher: | Bernoulli Society for Mathematical Statistics and Probability |
Citation: | Milstein G. N. Transition Density Estimation for Stochastic Differential Equations Via Forward-reverse Representations / G. N. Milstein, J. G. M. Schoenmakers, V. Spokoiny // Bernoulli. — 2004. — Vol. 10. — Iss. 2. — P. 281-312. |
Abstract: | The general reverse diffusion equations are derived and applied to the problem of transition density estimation of diffusion processes between two fixed states. For this problem we propose density estimation based on forward-reverse representations and show that this method allows essentially better results to be achieved than the usual kernel or projection estimation based on forward representations only. © 2004 ISI/BS. |
Keywords: | FORWARD AND REVERSE DIFFUSION MONTE CARLO SIMULATION STATISTICAL ESTIMATION TRANSITION DENSITY |
URI: | http://elar.urfu.ru/handle/10995/111709 |
Access: | info:eu-repo/semantics/openAccess |
SCOPUS ID: | 33644476835 |
PURE ID: | 43760567 |
ISSN: | 1350-7265 |
Appears in Collections: | Научные публикации ученых УрФУ, проиндексированные в SCOPUS и WoS CC |
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