57 citations · 235 across the 17 of their papers we have counts for
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Conditioning continuous-time Markov processes by guiding
Marc Corstanje, Frank van der Meulen, Moritz Schauer
A continuous-time Markov process can be conditioned to be in a given state at a fixed time using Doob's -transform. This transform requires the typically intractable…
Simulation of elliptic and hypo-elliptic conditional diffusions
Joris Bierkens, Frank van der Meulen, Moritz Schauer
Suppose is a multidimensional diffusion process. Assume that at time zero the state of is fully observed, but at time only linear combinations of its components are o…
Guided proposals for simulating multi-dimensional diffusion bridges
Moritz Schauer, Frank van der Meulen, Harry van Zanten
A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bri…