Conditional Path Sampling of SDEs and the Langevin MCMC Method
Stuart, Andrew M. ; Voss, Jochen ; Wilberg, Petter
Commun. Math. Sci., Tome 2 (2004) no. 2, p. 685-697 / Harvested from Project Euclid
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We introduce a stochastic PDE based approach to sampling paths of SDEs, conditional on observations. The SPDEs are derived by generalising the Langevin MCMC method to infinite dimensions. Various applications are described, including sampling paths subject to two end-point conditions (bridges) and nonlinear filter/smoothers.
Publié le : 2004-12-14
Classification:  
@article{1109885503,
     author = {Stuart, Andrew M. and Voss, Jochen and Wilberg, Petter},
     title = {Conditional Path Sampling of SDEs and the Langevin MCMC Method},
     journal = {Commun. Math. Sci.},
     volume = {2},
     number = {2},
     year = {2004},
     pages = { 685-697},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1109885503}
}

Stuart, Andrew M.; Voss, Jochen; Wilberg, Petter. Conditional Path Sampling of SDEs and the Langevin MCMC Method. Commun. Math. Sci., Tome 2 (2004) no. 2, pp.  685-697. http://gdmltest.u-ga.fr/item/1109885503/