Improved bridge constructs for stochastic differential equations
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Abstract: We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such realisations are typically termed diffusion bridges. Since, in general, no closed form expression exists for the transition densities of the process of interest, a widely adopted solution works with the Euler-Maruyama approximation, by replacing the intractable transition densities with Gaussian approximations. However, the density of the conditioned discrete-time process remains intractable, necessitating the use of computationally intensive methods such as Markov chain Monte Carlo. Designing an efficient proposal mechanism which can be applied to a noisy and partially observed system that exhibits nonlinear dynamics is a challenging problem, and is the focus of this paper. By partitioning the process into two parts, one that accounts for nonlinear dynamics in a deterministic way, and another as a residual stochastic process, we develop a class of novel constructs that bridge the residual process via a linear approximation. In addition, we adapt a recently proposed construct to a partial and noisy observation regime. We compare the performance of each new construct with a number of existing approaches, using three applications.
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Cited in
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- Stability of sampling proposals for reducible diffusions over large time intervals
- Efficient sampling of conditioned Markov jump processes
- Continuous-discrete smoothing of diffusions
- Particle methods for stochastic differential equation mixed effects models
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Statistical inference for stochastic differential equations
- Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models
- On dynamics of the maximum likelihood states in nonequilibrium systems
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- Accelerating inference for stochastic kinetic models
- Bayesian inference for multistate `step and turn' animal movement in continuous time
- Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- SPDE bridges with observation noise and their spatial approximation
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