Simulation of elliptic and hypo-elliptic conditional diffusions

DOI10.1017/APR.2019.54MaRDI QIDQ3298817zbMATH OpenOpenAlexFDO

Authors Joris Bierkens, Moritz Schauer, Frank van der Meulen

Publication date 16 July 2020

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.01761

zbMATH Keywords

FitzHugh-Nagumo modelMonte Carlo methodpartially observed diffusionguided proposaldiffusion bridgeLangevin samplertwice-integrated diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: Suppose $X$ is a multidimensional diffusion process. Assume that at time zero the state of $X$ is fully observed, but at time $T>0$ only linear combinations of its components are observed. That is, one only observes the vector $L{X}_T$ for a given matrix $L$. In this paper we show how samples from the conditioned process can be generated. The main contribution of this paper is to prove that guided proposals, introduced in Schauer et al. (2017), can be used in a unified way for both uniformly and hypo-elliptic diffusions, also when $L$ is not the identity matrix. This is illustrated by excellent performance in two challenging cases: a partially observed twice integrated diffusion with multiple wells and the partially observed FitzHugh-Nagumo model.

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Cited in

(12)

• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Diffusion bridges for stochastic Hamiltonian systems and shape evolutions
• On a class of exponential changes of measure for stochastic PDEs
• Sampling conditioned hypoelliptic diffusions
• Continuous-discrete smoothing of diffusions
• Conditioning diffusions with respect to incomplete observations
• Simulating elliptic diffusions and orthogonal invariance
• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• A piecewise deterministic Monte Carlo method for diffusion bridges
• Simulation of conditioned diffusions on the flat torus
• Conditioning continuous-time Markov processes by guiding
• Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations

Describes a project that uses

Uses Software

• Bridge.jl
• GitHub
• Julia

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