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.

Language: Englisch

Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2006,041

Classification: Wirtschaft

Subject: transition density estimation
forward and reverse Markov chains
Monte Carlo simulation
estimation of risk

Event: Geistige Schöpfung

(who): Milstein, Grigori N.
Schoenmakers, John G. M.
Spokoiny, Vladimir

Event: Veröffentlichung

(who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

(where): Berlin

(when): 2006

Handle: http://hdl.handle.net/10419/25122

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Milstein, Grigori N.
Schoenmakers, John G. M.
Spokoiny, Vladimir
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Time of origin

2006

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