Publication: Analysis of SPDEs arising in Path Sampling, Part I: The Gaussian Case. An article about using (linear) SPDEs in infinite dimensional MCMC methods. … read more

CSimGen. Homepage of the CSimGen code generator … read more

Mathematical Homepage of Jochen Voss. I am a mathematician, interested in probability, statistical computing and applied mathematics. This page gives an overview over some of my mathematical interests. … read more

Sampling Conditioned Hypoelliptic Diffusions

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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:

This is an excerpt from Jochen's blog.
Newer entry: colorspace conversion in Python (updated)
Older entry: new paper

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