MCMC METHODS FOR DIFFUSION BRIDGES
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Publication:3545965
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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- On the accept-reject mechanism for Metropolis-Hastings algorithms
- Unbiased multi-index Monte Carlo
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