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Importance sampling for diffusion processes

Date: 
Thursday 2nd November 2006 - 14:00 to 15:15
Venue: 
INI Seminar Room 1
Abstract: 

In this talk I will discuss various techniques for constructing importance sampling estimators which approximate expectations (e.g the likelihood function, filtering densities, etc) when modelling with diffusion processes.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons