Sampling conditioned hypoelliptic diffusions

DOI10.1214/10-AAP708MaRDI QIDQ535210zbMATH OpenOpenAlexWikidataFDO

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)

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

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)

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.

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Cited in

(14)

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

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