Sampling conditioned hypoelliptic diffusions

DOI10.1214/10-AAP708zbMATH Open1219.60062arXiv0908.0162OpenAlexW2018855805WikidataQ56894317 ScholiaQ56894317MaRDI QIDQ535210FDOQ535210

Authors: Martin Hairer, A. M. Stuart, Jochen Voss 

Publication date: 11 May 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are of fourth-order parabolic type. This allows the treatment of more realistic physical models, for example, one can use the resulting SPDE to study transitions between meta-stable states in mechanical systems with friction and noise. In this situation the restriction of the drift being a gradient can also be lifted.

Full work available at URL: https://arxiv.org/abs/0908.0162

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zbMATH Keywords

stochastic partial differential equationsSobolev spacesspace-time white noisehypoelliptic diffusionsconditioned SPDEsfourth-order SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

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Cited In (14)

• Conditional path sampling of SDEs and the Langevin MCMC method
• Simulation of elliptic and hypo-elliptic conditional diffusions
• Optimal friction matrix for underdamped Langevin sampling
• Simulation of forward-reverse stochastic representations for conditional diffusions
• A regularized bridge sampler for sparsely sampled diffusions
• Analysis of SPDEs arising in path sampling. II: The nonlinear case
• Langevin equations for landmark image registration with uncertainty
• Rough stochastic PDEs
• Sampling Hypersurfaces through Diffusion
• The computational cost of blocking for sampling discretely observed diffusions
• Singular perturbations to semilinear stochastic heat equations
• On sampling from a log-concave density using kinetic Langevin diffusions
• Invariant measures of stochastic partial differential equations and conditioned diffusions
• Sampling and learning Mallows and generalized Mallows models under the Cayley distance

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