تقرير
Simulating diffusion bridges using the Wiener chaos expansion
| العنوان: | Simulating diffusion bridges using the Wiener chaos expansion |
|---|---|
| المؤلفون: | Delgado-Vences, Francisco, Salcedo-Varela, Gabriel Adrián, Baltazar-Larios, Fernando |
| سنة النشر: | 2024 |
| المجموعة: | Mathematics |
| مصطلحات موضوعية: | Mathematics - Probability, 60Gxx |
| الوصف: | In this paper, we simulate diffusion bridges by using an approximation of the Wiener-chaos expansion (WCE), or a Fourier-Hermite expansion, for a related diffusion process. Indeed, we consider the solution of stochastic differential equations, and we apply the WCE to a particular representation of the diffusion bridge. Thus, we obtain a method to simulate the proposal diffusion bridges that is fast and that in every attempt constructs a diffusion bridge, which means there are no rejection rates. The method presented in this work could be very useful in statistical inference. We validate the method with a simple Ornstein-Uhlenbeck process. We apply our method to three examples of SDEs and show the numerical results. Comment: 21 pages, 5 figures, 1 algorithm |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2401.06248 |
| رقم الأكسشن: | edsarx.2401.06248 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |