MCMC METHODS FOR DIFFUSION BRIDGES (Q3545965)

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MCMC METHODS FOR DIFFUSION BRIDGES
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    title
    MCMC METHODS FOR DIFFUSION BRIDGES (English)
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    author
    Alexandros Beskos
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    Gareth O. Roberts
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    Jochen Voss
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    publication date
    11 December 2008
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    Mathematics Subject Classification ID
    65C30
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    65C05
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    60H35
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    60H15
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    35R60
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    65C40
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    60G50
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    zbMATH DE Number
    5382041
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    zbMATH Keywords
    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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