SIMULATION OF ELLIPTIC AND HYPO-ELLIPTIC CONDITIONAL DIFFUSIONS

Bierkens, J; van der Meulen, F; Schauer, M

Bierkens, J (corresponding author), Vrije Univ Amsterdam, Dept Math, De Boelelaan 1081a, NL-1081 HV Amsterdam, Netherlands.

ADVANCES IN APPLIED PROBABILITY, 2020; 52 (1): 173

Abstract

Suppose X is a multidimensional diffusion process. Assume that at time zero the state of X is fully observed, but at time T > 0 only linear combina......

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