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On Generating Monte Carlo Samples of Continuous Diffusion Bridges

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  • Lin, Ming
  • Chen, Rong
  • Mykland, Per

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  • Lin, Ming & Chen, Rong & Mykland, Per, 2010. "On Generating Monte Carlo Samples of Continuous Diffusion Bridges," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 820-838.
    • Handle: RePEc:bes:jnlasa:v:105:i:490:y:2010:p:820-838
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    Cited by:

    1. Kyoung-Kuk Kim & Sojung Kim, 2016. "Simulation of Tempered Stable Lévy Bridges and Its Applications," Operations Research, INFORMS, vol. 64(2), pages 495-509, April.
    2. N. Englezos & X. Kartala & P. Koundouri & M. Tsionas & A. Alamanos, 2023. "A Novel HydroEconomic - Econometric Approach for Integrated Transboundary Water Management Under Uncertainty," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(4), pages 975-1030, April.
    3. Jenkins Paul A., 2012. "Stopping-Time Resampling and Population Genetic Inference under Coalescent Models," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 11(1), pages 1-20, January.
    4. Christophe Andrieu & Arnaud Doucet & Roman Holenstein, 2010. "Particle Markov chain Monte Carlo methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 269-342, June.
    5. Mogens Bladt & Samuel Finch & Michael Sørensen, 2016. "Simulation of multivariate diffusion bridges," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 343-369, March.

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