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• W3106679423 abstract "In this paper, we introduce a new method of sampling from transition densities of diffusion processes including those unknown in closed forms by solving a partial differential equation satisfied by the quotient of transition densities. We demonstrate the performance of the developed method on processes with known densities and the obtained results are consistent with theoretical values. The method is applied to Wright-Fisher diffusions owing to their importance in population genetics in studying interaction networks inherent in genetic data. Diffusion processes with bounded drift and non degenerate diffusion are considered as reference processes. $bf {Key words}:$ Stochastic differential equation (SDE), Transition density, Fokker-Planck partial differential equation, Aronson's bound, Rejection sampling, Wright-Fisher diffusion." @default.
• W3106679423 created "2020-12-07" @default.
• W3106679423 creator A5032768354 @default.
• W3106679423 creator A5089697850 @default.
• W3106679423 date "2020-12-03" @default.
• W3106679423 modified "2023-09-27" @default.
• W3106679423 title "Sampling from Unknown Transition Densities of Diffusion processes." @default.
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