Simulation of infinite-dimensional diffusion bridges
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PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Cites work
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- Guided proposals for simulating multi-dimensional diffusion bridges
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- Spectral gaps for a Metropolis-Hastings algorithm in infinite dimensions
- Stochastic Equations in Infinite Dimensions
- Stochastic neural field equations: a rigorous footing
- The correlated pseudomarginal method
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