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Sampling conditioned diffusions
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Hairer, Martin, Stuart, A. M. and Voss, Jochen (2009) Sampling conditioned diffusions. In: Blath, Jochen and Morters, Peter and Scheutzow, Michael, (eds.) Trends in stochastic analysis : festschrift in honour of Heinrich von Weizsäcker. London Mathematical Society lecture note series, Vol.353 . Cambridge, U.K. ; New York: Cambridge University Press, pp. 159-186. ISBN 9780521718219
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Official URL: http://dx.doi.org/10.1017/CBO9781139107020.009
Abstract
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite-dimensional generalization of the Langevin sampling technique.
Item Type: | Book Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Series Name: | London Mathematical Society lecture note series | ||||
Publisher: | Cambridge University Press | ||||
Place of Publication: | Cambridge, U.K. ; New York | ||||
ISBN: | 9780521718219 | ||||
Book Title: | Trends in stochastic analysis : festschrift in honour of Heinrich von Weizsäcker | ||||
Editor: | Blath, Jochen and Morters, Peter and Scheutzow, Michael | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.353 | ||||
Number of Pages: | 390 | ||||
Page Range: | pp. 159-186 | ||||
DOI: | 10.1017/CBO9781139107020.009 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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