| details: | Andrew M. Stuart, Jochen Voss and Petter Wiberg: Conditional Path Sampling of SDEs and the Langevin MCMC Method. Communications in Mathematical Sciences, vol. 2, no. 4, pp. 685–697, 2004. |
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| online: | link, journal |
| preprint: | preprint:pdf, preprint:ps |
| metadata: | BibTeX, MathSciNet, Google |
| keywords: | MCMC methods, SPDEs, path sampling, Kalman filter |
| MSC2000: | 65C05, 65C60, 60H15 |
We introduce a stochastic PDE based approach to sampling paths of SDEs, conditional on observations. The SPDEs are derived by generalising the Langevin MCMC method to infinite dimensions. Various applications are described, including sampling paths subject to two end-point conditions (bridges) and nonlinear filter/smoothers.
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