Arbeitspapier
Forward and reverse representations for Markov chains
In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are connected with jump-diffusion models and finite state Markov chains. By combining forward an reverse representations we then construct transition density estimators for chains which have root-N accuracy in any dimension and consider some applications.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2006,041
- Klassifikation
-
Wirtschaft
- Thema
-
transition density estimation
forward and reverse Markov chains
Monte Carlo simulation
estimation of risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Milstein, Grigori N.
Schoenmakers, John G. M.
Spokoiny, Vladimir
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Milstein, Grigori N.
- Schoenmakers, John G. M.
- Spokoiny, Vladimir
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2006
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