stochastic partial differential equationsnumerical examplesMarkov chain Monte Carlo methodsimplicit Euler schemequadratic variationGaussian measureLangevin samplingMetropolis-adjusted Langevin algorithmrandom-walkdiffusion bridge
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Sums of independent random variables; random walks (60G50) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
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- Probability with Martingales
- Random motion of strings and related stochastic evolution equations
Cited in
(90)- Solving Bayesian inverse problems from the perspective of deep generative networks
- Scaling Up Bayesian Uncertainty Quantification for Inverse Problems Using Deep Neural Networks
- Optimal tuning of the hybrid Monte Carlo algorithm
- On the accept-reject mechanism for Metropolis-Hastings algorithms
- Conditional path sampling of SDEs and the Langevin MCMC method
- Infinite dimensional piecewise deterministic Markov processes
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- Error bounds for Metropolis-Hastings algorithms applied to perturbations of Gaussian measures in high dimensions
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- Guided proposals for simulating multi-dimensional diffusion bridges
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- Bayesian imaging inverse problem with SA-roundtrip prior via HMC-pCN sampler
- Optimal scaling for the proximal Langevin algorithm in high dimensions
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- A statistical framework for domain shape estimation in Stokes flows
- On a generalization of the preconditioned Crank-Nicolson metropolis algorithm
- Continuum limit and preconditioned Langevin sampling of the path integral molecular dynamics
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- Markov Bridges, Bisection and Variance Reduction
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- Uncertainty quantification in graph-based classification of high dimensional data
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- Multilevel sequential Monte Carlo for Bayesian inverse problems
- Simulation of elliptic and hypo-elliptic conditional diffusions
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- Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
- Bayesian Parameter Identification in Cahn--Hilliard Models for Biological Growth
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- Dimension‐independent Markov chain Monte Carlo on the sphere
- Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions
- Simulation of Multivariate Diffusion Bridges
- Hierarchical Bayesian level set inversion
- Advanced Multilevel Monte Carlo Methods
- Unbiased multi-index Monte Carlo
- Guided simulation of conditioned chemical reaction networks
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- Scalable Optimization-Based Sampling on Function Space
- Non-stationary phase of the MALA algorithm
- On the consistency of graph-based Bayesian semi-supervised learning and the scalability of sampling algorithms
- Bayesian inversion for the identification of the doping profile in unipolar semiconductor devices
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