MCMC METHODS FOR DIFFUSION BRIDGES (Q3545965): Difference between revisions

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Latest revision as of 11:04, 30 July 2024

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MCMC METHODS FOR DIFFUSION BRIDGES
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    MCMC METHODS FOR DIFFUSION BRIDGES (English)
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    11 December 2008
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    diffusion bridge
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    Langevin sampling
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    Gaussian measure
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    implicit Euler scheme
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    quadratic variation
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    Metropolis-adjusted Langevin algorithm
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    Markov chain Monte Carlo methods
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    stochastic partial differential equations
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    numerical examples
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    random-walk
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