Monte Carlo Estimation of Diffusion Distributions at Inter-sampling Times
Christian John Wypasek, Janine Butera, Ben G Fitzpatrick · Birkhäuser Boston eBooks · 1999
In this paper we present a Monte Carlo technique for estimating diffusion distributions at inter-sampling times. The technique performs a pathwise analysis of a given diffusion model and initial distribution. The result is a procedure which matches a desired terminal distribution while providing distribution estimation at intermediate times.