Simulation of conditioned diffusions on the flat torus

DOI10.1007/978-3-030-26980-7_71MaRDI QIDQ2305286zbMATH OpenOpenAlexFDO

Authors Mathias Højgaard Jensen, Anton Mallasto, Stefan Sommer

Publication date 10 March 2020

Full work available at URL https://arxiv.org/abs/1906.09813

zbMATH Keywords

simulationflat torusconditioned diffusionmanifold diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for example in biology, where toroidal data arises naturally when studying the backbone of protein sequences, creating a demand for efficient sampling methods. In this paper, we propose a method for simulating diffusions on the flat torus, conditioned on hitting a terminal point after a fixed time, by considering a diffusion process in R 2 which we project onto the torus. We contribute a convergence result for this diffusion process, translating into convergence of the projected process to the terminal point on the torus. We also show that under a suitable change of measure, the Euclidean diffusion is locally a Brownian motion.

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Cited in

(1)

• Recent advances in directional statistics

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