Conditional path sampling for stochastic differential equations through drift relaxation

DOI10.2140/CAMCOS.2011.6.63zbMath1238.60068arXiv1006.2492OpenAlexW2116985158MaRDI QIDQ646490

Panos Stinis

Publication date: 17 November 2011

Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2492

zbMATH Keywords

stochastic differential equationMonte Carlosimulated annealinghomotopy methodparticle filterconditional path sampling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical solutions to stochastic differential and integral equations (65C30)

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