Exact simulation of diffusions

2005/11/01 by Alexandros Beskos, Gareth O. Roberts · 4 citations

paper · doi:10.1214/105051605000000485

Cited by

• Geometry, Energy and Sensitivity in Stochastic Proton Dynamics
• Fast Computation of Path Integrals of Killed Processes Using Confined Stochastic Bridges
• Inference for Diffusion Processes via Controlled Sequential Monte Carlo and Splitting Schemes
• First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds