Sökning: "MarkovchainMonteCarlo"

Hittade 1 uppsats innehållade ordet MarkovchainMonteCarlo.

1. 1. Simulation of diffusion bridges for stochastic differential equations

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Daniel Damberg; [2017]
   Nyckelord :Diffusionbridge; MarkovchainMonteCarlo; Stochasticdifferentialequation; Linear noise approximation; Mathematics and Statistics;

   Sammanfattning : The simulation of diffusion bridges is a difficult statistical problem, and methods for this are attracting a great deal of attention. Analytically, the conditioning on a future pointintroducesasecondtermtothedriftoftheSDEthatincludesthetransitiondensity of the unconditioned process. LÄS MER