A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models

We introduce an adaptive algorithm for sampling multivariate diffusion bridges that performs well for both diffusion and drift dominated models.The algorithm combines the residual bridge sampler with adaptive MCMC, allowing... [ view full abstract ]

We introduce an adaptive algorithm for sampling multivariate diffusion bridges that performs well for both diffusion and drift dominated models.

The algorithm combines the residual bridge sampler with adaptive MCMC, allowing the algorithm to make online improvements upon the ordinary residual bridge algorithm.

The simulation study show that the proposed bridge sampler is performing at least as good as the residual bridge sampler on a diffusion dominated problem, and substantially better on a drift dominated problem.