MCMC METHODS FOR DIFFUSION BRIDGES
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Publication:3545965
DOI10.1142/S0219493708002378zbMATH Open1159.65007OpenAlexW2168255721MaRDI QIDQ3545965FDOQ3545965
Authors: Alexandros Beskos, Gareth O. Roberts, Jochen Voss, A. M. Stuart 
Publication date: 11 December 2008
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493708002378
Recommendations
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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Cited In (83)
- Solving Bayesian inverse problems from the perspective of deep generative networks
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- SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations
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- Guided proposals for simulating multi-dimensional diffusion bridges
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- Bayesian spatiotemporal modeling for inverse problems
- Optimal friction matrix for underdamped Langevin sampling
- Conditioning diffusions with respect to incomplete observations
- Multilevel dimension-independent likelihood-informed MCMC for large-scale inverse problems
- Graph-based prior and forward models for inverse problems on manifolds with boundaries
- Prior normalization for certified likelihood-informed subspace detection of Bayesian inverse problems
- Reconciling Bayesian and perimeter regularization for binary inversion
- Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method
- Unbiased multi-index Monte Carlo
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