Bridge simulation and metric estimation on Lie groups

DOI10.1007/978-3-030-80209-7_47zbMATH Open1487.60084arXiv2106.03431OpenAlexW3186579463MaRDI QIDQ2117882FDOQ2117882

Authors: Mathias Højgaard Jensen, Sarang Joshi, Stefan Sommer 

Publication date: 22 March 2022

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.

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

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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)

Cites Work

• Stochastic analysis on manifolds
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• Simulation of conditioned diffusion and application to parameter estimation
• Transformations of the Brownian motion on a Riemannian symmetric space
• Importance sampling techniques for estimation of diffusion models
• Brownian bridges to submanifolds

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