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Exact Simulation for Diffusion Bridges: An Adaptive Approach

Part of: Probabilistic methods, simulation and stochastic differential equations Markov processes

Published online by Cambridge University Press:  19 February 2016

Hongsheng Dai
Hongsheng Dai*
Affiliation:
University of Brighton
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Abstract

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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.

Keywords

Adaptive rejection samplingconditioned Brownian motiondiffusion bridgeexact Monte Carlo simulation

MSC classification

Primary: 65C05: Monte Carlo methods 65C50: Other computational problems in probability
Secondary: 60J60: Diffusion processes
Type
Research Article
Information
Journal of Applied Probability , Volume 51 , Issue 2 , June 2014 , pp. 346 - 358
Copyright
© Applied Probability Trust 

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