Improved bridge constructs for stochastic differential equations

DOI10.1007/s11222-016-9660-3zbMath1384.65011arXiv1509.09120OpenAlexW2401024973WikidataQ59614161 ScholiaQ59614161MaRDI QIDQ1703803

Andrew Golightly, Chris Sherlock, Richard J. Boys, Gavin A. Whitaker

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.09120

zbMATH Keywords

stochastic differential equationMarkov chain Monte Carlolinear noise approximationguided proposalmultivariate diffusion bridge

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• Bridge.jl
• BayesEstDiffusion.jl

Cites Work

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• Inference for reaction networks using the linear noise approximation
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