Today I completed another article, which will eventually appear in the conference proceedings for Heinrich v. Weizsäcker's birthday conference:
- M. Hairer, A.M. Stuart and J. Voss:
Sampling Conditioned Diffusions.
Pages 159–186 in Trends in Stochastic Analysis,
Cambridge University Press,
vol. 353 of London Mathematical Society Lecture Note Series, 2009.
link, preprint:pdf, more…
This is a (hopefully) very nice and readable summary of our project to use SPDEs to construct MCMC methods in infinite dimensional spaces.