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A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models

Lindström, Erik LU and Damberg, Daniel (2018) 10th Bachelier world congress
Abstract
We introduce an adaptive algorithm for sampling multivariate diffusion bridges that performs well for both diffusion and drift dominated models.
The algorithm combines the residual bridge sampler with adaptive MCMC, allowing the algorithm to make online improvements upon the ordinary residual bridge algorithm.
The simulation study show that the proposed bridge sampler is performing at least as good as the residual bridge sampler on a diffusion dominated problem, and substantially better on a drift dominated problem.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to conference
publication status
in press
subject
conference name
10th Bachelier world congress
conference location
Dublin, Ireland
conference dates
2018-07-16 - 2018-07-20
language
English
LU publication?
yes
id
0541dfb3-554c-4664-854a-34ab6a8a6fc4
date added to LUP
2018-04-05 14:51:26
date last changed
2018-11-21 21:39:05
@misc{0541dfb3-554c-4664-854a-34ab6a8a6fc4,
  abstract     = {We introduce an adaptive algorithm for sampling multivariate diffusion bridges that performs well for both diffusion and drift dominated models.<br/>The algorithm combines the residual bridge sampler with adaptive MCMC, allowing the algorithm to make online improvements upon the ordinary residual bridge algorithm.<br/>The simulation study show that the proposed bridge sampler is performing at least as good as the residual bridge sampler on a diffusion dominated problem, and substantially better on a drift dominated problem.<br/>},
  author       = {Lindström, Erik and Damberg, Daniel},
  language     = {eng},
  location     = {Dublin, Ireland},
  month        = {07},
  title        = {A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models},
  year         = {2018},
}