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Exact simulation

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I will discuss the exact simulation method for diffusions developed by Beskos, Papaspiliopoulos and Roberts and its application to statistical inference for diffusions. The talk will focus on the papers: `Exact Simulation of Diffusions’ and `Exact and Computationally Efficient Likelihood-based Estimation for Discretely Observed Diffusion Processes’.

This talk is part of the Statistics Reading Group series.

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