MCMC METHODS FOR DIFFUSION BRIDGES

DOI10.1142/S0219493708002378zbMath1159.65007OpenAlexW2168255721MaRDI QIDQ3545965

Jochen Voss, Alexandros Beskos, Gareth O. Roberts, Andrew M. Stuart

Publication date: 11 December 2008

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493708002378

zbMATH Keywords

numerical examplesstochastic partial differential equationsMarkov chain Monte Carlo methodsrandom-walkquadratic variationGaussian measureimplicit Euler schemeLangevin samplingMetropolis-adjusted Langevin algorithmdiffusion bridge

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Exponential convergence of Langevin distributions and their discrete approximations
• Optimal scaling for various Metropolis-Hastings algorithms.
• Invariant measures of stochastic partial differential equations and conditioned diffusions
• Fluctuations for \(\nabla \varphi \) interface model on a wall.
• Analysis of SPDEs arising in path sampling. II: The nonlinear case
• Analysis of SPDEs arising in path sampling. I: The Gaussian case
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Conditional path sampling of SDEs and the Langevin MCMC method
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Random motion of strings and related stochastic evolution equations
• Probability with Martingales
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Linear-implicit strong schemes for Itô-Galerkin approximations of stochastic PDEs

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