Title :
The simulation of pinned diffusions
Author_Institution :
Dept. of Electr. Eng., Imperial Coll., London, UK
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;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.203845
