Bridge simulation and metric estimation on Lie groups

DOI10.1007/978-3-030-80209-7_47MaRDI QIDQ2117882zbMATH OpenOpenAlexFDO

Authors Mathias Højgaard Jensen, Sarang Joshi, Stefan Sommer

Publication date 22 March 2022

Full work available at URL https://arxiv.org/abs/2106.03431

zbMATH Keywords

importance samplingBrownian motionLie groupsBrownian bridge simulationmetric estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Applications of Lie groups to the sciences; explicit representations (22E70) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian bridge measure with respect to the guided process measure. This result generalizes the Euclidean result of Delyon and Hu to Lie groups. We present numerical results of the guided process in the Lie group $SO(3)$. In particular, we apply importance sampling to estimate the metric on $SO(3)$ using an iterative maximum likelihood method.

Recommendations

• Brownian processes for Monte Carlo integration on compact Lie groups
• An estimation problem in compact Lie groups
• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Simulation of Multivariate Diffusion Bridges
• Guided proposals for simulating multi-dimensional diffusion bridges

Cites work

• scientific article; zbMATH DE number 2116093 (Why is no real title available?)
• Brownian bridges to submanifolds
• Importance sampling techniques for estimation of diffusion models
• Itô correction terms for the radial parts of semimartingales on manifolds
• Simulation of conditioned diffusion and application to parameter estimation
• Some Consequences of the Nature of the Distance Function on the Cut Locus in a Riemannian Manifold
• Stochastic analysis on manifolds
• The radial part of Brownian motion on a manifold: A semimartingale property
• Transformations of the Brownian motion on a Riemannian symmetric space

This page was built for publication: Bridge simulation and metric estimation on Lie groups

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2117882)