Exact simulation and unbiased estimation for diffusions
This talk will present exact simulation methodology for diffusion processes, describing its advantages and intrinsic limitations. Motivated by these limitations, the presentation will go on to present more recent work on continuous-time importance sampling methodology for giving unbiased estimation for arbitrary stochastic processes, with a particular interest in general multivariate diffusions. The methods will be illustrated using examples from likelihood based inference for partially observed diffusions.
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