Advanced MCMC methods for sampling on diffusion pathspace

DOI10.1016/j.spa.2012.12.001zbMath1276.60078arXiv1203.6216OpenAlexW2156520836MaRDI QIDQ1939346

Konstantinos Kalogeropoulos, Erik Pazos, Alexandros Beskos

Publication date: 4 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.6216

zbMATH Keywords

stochastic differential equationMarkov chain Monte Carlo methodsGaussian measurehybrid Monte Carlo methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30)

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