Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25122 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,041
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
transition density estimation
forward and reverse Markov chains
Monte Carlo simulation
estimation of risk
Dokumentart: 
Working Paper

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