Sequential Monte Carlo methods for diffusion processes
In this paper, we show how to use sequential Monte Carlo methods to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t. the initial condition of the process. In some cases, via the exact simulation of the diffusion, there is no time discreti...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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