MCMC METHODS FOR DIFFUSION BRIDGES

DOI10.1142/S0219493708002378zbMath1159.65007OpenAlexW2168255721MaRDI QIDQ3545965

Jochen Voss, Alexandros Beskos, Gareth O. Roberts, Andrew 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

zbMATH Keywords

numerical examplesstochastic partial differential equationsMarkov chain Monte Carlo methodsrandom-walkquadratic variationGaussian measureimplicit Euler schemeLangevin samplingMetropolis-adjusted Langevin algorithmdiffusion bridge

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) 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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