Bridge simulation and metric estimation on Lie groups

DOI10.1007/978-3-030-80209-7_47zbMath1487.60084arXiv2106.03431MaRDI QIDQ2117882

Stefan Sommer, Sarang Joshi, Mathias Højgaard Jensen

Publication date: 22 March 2022

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

zbMATH Keywords

importance sampling; Brownian motion; Lie groups; Brownian bridge simulation; metric estimation

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60J65: Brownian motion

22E70: Applications of Lie groups to the sciences; explicit representations

58J65: Diffusion processes and stochastic analysis on manifolds