• DocumentCode
    3082316
  • Title

    The simulation of pinned diffusions

  • Author

    Clark, J.M.C.

  • Author_Institution
    Dept. of Electr. Eng., Imperial Coll., London, UK
  • fYear
    1990
  • fDate
    5-7 Dec 1990
  • Firstpage
    1418
  • Abstract
    The author presents a method for simulating those paths of an Rn-valued diffusion dXt=b (t,Xt)dt+dWt , X0=x that are conditioned to pass through a point z at time T, where {Wt } is an Rn-valued Brownian motion. Conditioned diffusions of this sort arise in nonlinear filtering problems
  • Keywords
    diffusion; filtering and prediction theory; modelling; stochastic systems; Brownian motion; nonlinear filtering problems; pinned diffusions; Bridges; Density measurement; Discrete wavelet transforms; Educational institutions; Extraterrestrial measurements; Filtering; Indium tin oxide; Motion measurement; Partial differential equations; Topology;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
  • Conference_Location
    Honolulu, HI
  • Type

    conf

  • DOI
    10.1109/CDC.1990.203845
  • Filename
    203845
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3082316