Mogens Bladt (Universidad Nacional Autonoma de Mexico), Michael Sorensen* (University of Copenhagen) Abstract With a view to likelihood inference for discretely observed diffusion
type models, a simple method of simulating diffusion bridges is proposed.
The method is applicable to all ergodic one-dimensional diffusions, and
has the advantage that simple simulation methods like the Euler scheme
can be applied to bridge simulation. To illustrate the usefulness of the
new method, we consider likelihood inference for discretely sampled diffusion
models and stochastic volatility models of the diffusion type. This is
joint work with Mogens Bladt, Instituto de Investigacion en Matematicas
y en sistemas, Universidad Nacional Autonoma de Mexico.
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