Sampling from Unknown Transition Densities of Diffusion processes

Yasin Kikabi; Juma Kasozi

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arXiv · 2012.01965

Sampling from Unknown Transition Densities of Diffusion processes

Yasin Kikabi·Juma Kasozi

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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.

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Yasin Kikabi, Juma Kasozi. 2020-12-03. Sampling from Unknown Transition Densities of Diffusion processes. https://arxiv.org/abs/2012.01965

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