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Exact Simulation for Diffusion Bridges: An Adaptive Approach

Dai, Hongsheng (2014) 'Exact Simulation for Diffusion Bridges: An Adaptive Approach.' Journal of Applied Probability, 51 (2). pp. 346-358. ISSN 0021-9002

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Exact simulation approaches for a class of diffusion bridges have recently been proposed based on rejection sampling techniques. The existing rejection sampling methods may not be practical owing to small acceptance probabilities. In this paper we propose an adaptive approach that improves the existing methods significantly under certain scenarios. The idea of the new method is based on a layered process, which can be simulated from a layered Brownian motion with reweighted layer probabilities. We will show that the new exact simulation method is more efficient than existing methods theoretically and via simulation.

Item Type: Article
Uncontrolled Keywords: Adaptive rejection sampling; conditioned Brownian motion; diffusion bridge; exact Monte Carlo simulation
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science and Health
Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 16 Apr 2013 09:11
Last Modified: 15 Jan 2022 00:43

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