Conditioning continuous-time Markov processes by guiding

DOI10.1080/17442508.2022.2150081MaRDI QIDQ6109137zbMATH OpenFDO

Authors Frank van der Meulen, Moritz Schauer

Publication date 27 July 2023

Published in Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2111.11377

zbMATH Keywords

conditional processdiffusionsDoob's \(h\)-transformguided processjump processeslandmark dynamicsMarkov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: A continuous-time Markov process $X$ can be conditioned to be in a given state at a fixed time $T>0$ using Doob's $h$-transform. This transform requires the typically intractable transition density of $X$. The effect of the $h$-transform can be described as introducing a guiding force on the process. Replacing this force with an approximation defines the wider class of guided processes. For certain approximations the law of a guided process approximates - and is equivalent to - the actual conditional distribution, with tractable likelihood-ratio. The main contribution of this paper is to prove that the principle of a guided process, introduced in Schauer et al. (2017) for stochastic differential equations, can be extended to a more general class of Markov processes. In particular we apply the guiding technique to jump processes in discrete state spaces. The Markov process perspective enables us to improve upon existing results for hypo-elliptic diffusions.

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(2)

• Guided simulation of conditioned chemical reaction networks
• Controlled stochastic processes for simulated annealing

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