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Analysis of SPDEs arising in path sampling part I: The Gaussian case
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UNSPECIFIED (2005) Analysis of SPDEs arising in path sampling part I: The Gaussian case. COMMUNICATIONS IN MATHEMATICAL SCIENCES, 3 (4). pp. 587-603. ISSN 1539-6746.
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Abstract
In many applications it is important to be able to sample paths of SDEs conditional on observations of various kinds. This paper studies SPDEs which solve such sampling problems. The SPDE may be viewed as an infinite dimensional analogue of the Langevin SDE used infinite dimensional sampling. Here the theory is developed for conditioned Gaussian processes for which the resulting SPDE is linear. Applications include the Kalman-Bucy filter/smoother. A companion paper studies the nonlinear case, building on the linear analysis provided here.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | COMMUNICATIONS IN MATHEMATICAL SCIENCES | ||||
Publisher: | INT PRESS | ||||
ISSN: | 1539-6746 | ||||
Official Date: | December 2005 | ||||
Dates: |
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Volume: | 3 | ||||
Number: | 4 | ||||
Number of Pages: | 17 | ||||
Page Range: | pp. 587-603 | ||||
Publication Status: | Published |
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