57 citations · 224 across the 9 of their papers we have counts for
3 papers · 1 filter
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…
Donsker theorems for diffusions: Necessary and sufficient conditions
Aad van der Vaart, Harry van Zanten
We consider the empirical process G_t of a one-dimensional diffusion with finite speed measure, indexed by a collection of functions F. By the central limit theorem for diffusions,…
Krein's spectral theory and the Paley-Wiener expansion for fractional Brownian motion
Kacha Dzhaparidze, Harry van Zanten
In this paper we develop the spectral theory of the fractional Brownian motion (fBm) using the ideas of Krein's work on continuous analogous of orthogonal polynomials on the unit c…