Sampling conditioned hypoelliptic diffusions

DOI10.1214/10-AAP708zbMath1219.60062arXiv0908.0162OpenAlexW2018855805WikidataQ56894317 ScholiaQ56894317MaRDI QIDQ535210

Martin Hairer, Andrew M. Stuart, Jochen Voss

Publication date: 11 May 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.0162

zbMATH Keywords

Sobolev spacesstochastic partial differential equationsspace-time white noisehypoelliptic diffusionsconditioned SPDEsfourth-order SPDEs

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10)

Related Items (7)

The computational cost of blocking for sampling discretely observed diffusions ⋮ Optimal friction matrix for underdamped Langevin sampling ⋮ Singular perturbations to semilinear stochastic heat equations ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Langevin Equations for Landmark Image Registration with Uncertainty ⋮ Simulation of forward-reverse stochastic representations for conditional diffusions ⋮ Rough stochastic PDEs

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