Journal article
Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
Methodology and computing in applied probability, Vol.9(4), pp.483-496
12/01/2007
DOI: 10.1007/s11009-006-9006-2
Abstract
Discretized simulation is widely used to approximate the transition density of discretely observed diffusions. A recently proposed importance sampler, namely modified Brownian bridge, has gained much attention for its high efficiency relative to other samplers. It is unclear for this sampler, however, how to balance the trade-off between the number of imputed values and the number of Monte Carlo simulations under a given computing resource. This paper provides an asymptotically efficient allocation of computing resource to the importance sampling approach with a modified Brownian bridge as importance sampler. The optimal trade-off is established by investigating two types of errors: Euler discretization error and Monte Carlo error. The main results are illustrated with two simulated examples.
Details
- Title: Subtitle
- Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
- Creators
- Osnat Stramer - University of IowaJun Yan - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Methodology and computing in applied probability, Vol.9(4), pp.483-496
- Publisher
- SPRINGER
- DOI
- 10.1007/s11009-006-9006-2
- ISSN
- 1387-5841
- eISSN
- 1573-7713
- Number of pages
- 14
- Language
- English
- Date published
- 12/01/2007
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257629002771
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