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 ]


  1. Erik Lindström (Lund University)
  2. Daniel Damberg (Lund University)

Topic Areas

Econometrics , Numerical Methods


PS » Poster Presentations (11:00 - Monday, 16th July)

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