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Milstein, Grigori N.
Schoenmakers, John G. M.
Spokoiny, Vladimir
Year of Publication: 
Series/Report no.: 
SFB 649 discussion paper 2006,041
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.
transition density estimation
forward and reverse Markov chains
Monte Carlo simulation
estimation of risk
Document Type: 
Working Paper

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