Sampling Conditioned Hypoelliptic Diffusions

By Jochen Voss, on 2009-08-03

Today, I finally submitted the SPDE-paper I wrote with Martin Hairer and Andrew Stuart. This paper took a long time to complete (and it changed from an applied maths paper into a pure maths paper in the process). You can download a pre-print here; comments are very welcome:

• M. Hairer, A.M. Stuart and J. Voss: Sampling Conditioned Hypoelliptic Diffusions. Annals of Applied Probability, vol. 21, no. 2, pp. 669–698, 2011.
  DOI:10.1214/10-AAP708, arXiv:0908.0162, more…