Simulation of forward-reverse stochastic representations for conditional diffusions

DOI10.1214/13-AAP969zbMath1310.65004arXiv1306.2452OpenAlexW3105707323MaRDI QIDQ744383

Christian Bayer, John G. M. Schoenmakers

Publication date: 25 September 2014

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

Full work available at URL: https://arxiv.org/abs/1306.2452

zbMATH Keywords

convergenceMonte Carlo simulationnumerical simulationconditional diffusiondiffusion bridgesforward-reverse representationspinned diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Sequential Monte Carlo with Highly Informative Observations ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Continuous-discrete smoothing of diffusions ⋮ An efficient forward–reverse expectation-maximization algorithm for statistical inference in stochastic reaction networks ⋮ Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis ⋮ Multiscale Modeling of Wear Degradation in Cylinder Liners

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sampling conditioned hypoelliptic diffusions
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Conditional path sampling for stochastic differential equations through drift relaxation
• Simulation of conditioned diffusion and application to parameter estimation
• Two-particle models for the estimation of the mean and standard deviation of concentrations in coastal waters
• Time reversal of diffusions
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Hypoelliptic non-homogeneous diffusions
• Forward and reverse representations for Markov chains
• Simple simulation of diffusion bridges with application to likelihood inference for diffusions
• Conditional path sampling of SDEs and the Langevin MCMC method
• Retrospective exact simulation of diffusion sample paths with applications
• On conditional diffusion processes
• MCMC METHODS FOR DIFFUSION BRIDGES
• References
• On Generating Monte Carlo Samples of Continuous Diffusion Bridges
• Bounds for the fundamental solution of a parabolic equation

This page was built for publication: Simulation of forward-reverse stochastic representations for conditional diffusions