Sampling Conditioned Diffusions

Information and Download

details: , and : Sampling Conditioned Diffusions. Pages 159–186 in Trends in Stochastic Analysis, Cambridge University Press, vol. 353 of London Mathematical Society Lecture Note Series, 2009.
online: link
preprint: preprint:pdf, preprint:ps
metadata: BibTeX, MathSciNet, Google
keywords: MCMC methods, SPDEs


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 generalisation of the Langevin sampling technique.

Copyright © 2009, Jochen Voss. All content on this website (including text, pictures, and any other original works), unless otherwise noted, is licensed under a Creative Commons Attribution-Share Alike 3.0 License.