Abstract
The estimation of probability densities of variables described by stochastic differential equations has long been done using forward time estimators, which rely on the generation of forward in time realizations of the model. Recently, an estimator based on the combination of forward and reverse time estimators has been developed. This estimator has a higher order of convergence than the classical one. In this article, we explore the new estimator and compare the forward and forward–reverse estimators by applying them to a biochemical oxygen demand model. Finally, we show that the computational efficiency of the forward–reverse estimator is superior to the classical one, and discuss the algorithmic aspects of the estimator.
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