Conditioning diffusions with respect to incomplete observations
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DOI: 10.1007/s11203-023-09287-x
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References listed on IDEAS
- Delyon, Bernard & Hu, Ying, 2006. "Simulation of conditioned diffusion and application to parameter estimation," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1660-1675, November.
- Gilles Daniel & Nathan Joseph & David Bree, 2005. "Stochastic volatility and the goodness-of-fit of the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 199-211.
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Keywords
Conditioned diffusion; Bridge processes; Incomplete observations; Simulation;All these keywords.
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