We propose a method for estimating first passage time densities of one-dimensional
diffusions via Monte Carlo simulation. Our approach involves a representation of the first …

We introduce exact methods for the simulation of sample paths of one-dimensional
diffusions with a discontinuity in the drift function. Our procedures require the simulation of …

The objective of the paper is to present a novel methodology for likelihood-based inference
for discretely observed diffusions. We propose Monte Carlo methods, which build on recent …

We present an algorithm for exact simulation of a class of Itô's diffusions. We demonstrate
that when the algorithm is applicable, it is also straightforward to simulate diffusions …

In order to approximate the exit time of a one-dimensional diffusion process, we propose an
algorithm based on a random walk. Such an algorithm was already introduced in both the …

Since diffusion processes arise in so many different fields, efficient technics for the
simulation of sample paths, like discretization schemes, represent crucial tools in applied …

With a view to statistical inference for discretely observed diffusion models, we propose
simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridge …

In order to approximate the exit time of a one-dimensional diffusion process, we propose an
algorithm based on a random walk. Such an algorithm was already introduced in both the …

In this paper we introduce decompositions of diffusion measure which are used to construct
an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times …

This paper proposes a widely applicable method of approximate maximum-likelihood
estimation for multivariate diffusion process from discretely sampled data. A closed-form …