MCMC METHODS FOR DIFFUSION BRIDGES (Q3545965)
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scientific article
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| English | MCMC METHODS FOR DIFFUSION BRIDGES |
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MCMC METHODS FOR DIFFUSION BRIDGES (English)
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11 December 2008
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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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