Conditional Path Sampling of SDEs and the Langevin MCMC Method

Stuart, Andrew M. and Voss, Jochen and Wilberg, Petter (2004) Conditional Path Sampling of SDEs and the Langevin MCMC Method. Communications in Mathematical Sciences, 2 (4). pp. 685-697. ISSN 1539-6746. doi:10.4310/CMS.2004.v2.n4.a7. https://resolver.caltech.edu/CaltechAUTHORS:20170612-144819276

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Abstract

We introduce a stochastic PDE based approach to sampling paths of SDEs, conditional on observations. The SPDEs are derived by generalising the Langevin MCMC method to infinite dimensions. Various applications are described, including sampling paths subject to two end-point conditions (bridges) and nonlinear filter/smoothers.

Item Type:

Article

Related URLs:

URL	URL Type	Description
http://dx.doi.org/10.4310/CMS.2004.v2.n4.a7	DOI	Article
http://www.intlpress.com/site/pub/pages/journals/items/cms/content/vols/0002/0004/a007/	Publisher	Article
http://projecteuclid.org/euclid.cms/1109885503	Publisher	Article

ORCID:

Author	ORCID
Voss, Jochen	0000-0001-7740-8811

Additional Information:

© 2004 International Press. Received: July 14, 2004; accepted (in revised version): October 7, 2004. We are grateful to Eric Vanden Eijnden for helpful suggestions. This project was partially funded by the EPSRC. Jochen Voss was additionally funded by the European Union with a Marie Curie scholarship. The computing facilities were provided by the Centre for Scientific Computing of the University of Warwick.

Funders:

Funding Agency	Grant Number
Engineering and Physical Sciences Research Council (EPSRC)	UNSPECIFIED
Marie Curie Fellowship	UNSPECIFIED

Subject Keywords:

MCMC methods, stochastic partial differential equations, path sampling, Kalman filter

Other Numbering System:

Other Numbering System Name	Other Numbering System ID
Andrew Stuart	J61

Issue or Number:

Classification Code:

AMS Classification number: 65C05, 65C60, 60H15

DOI:

10.4310/CMS.2004.v2.n4.a7

Record Number:

CaltechAUTHORS:20170612-144819276

Persistent URL:

https://resolver.caltech.edu/CaltechAUTHORS:20170612-144819276

Official Citation:

Stuart, Andrew M.; Voss, Jochen; Wilberg, Petter. Conditional Path Sampling of SDEs and the Langevin MCMC Method. Commun. Math. Sci. 2 (2004), no. 4, 685--697. http://projecteuclid.org/euclid.cms/1109885503.

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No commercial reproduction, distribution, display or performance rights in this work are provided.

ID Code:

78125

Collection:

CaltechAUTHORS

Deposited By:

Tony Diaz

Deposited On:

12 Jun 2017 21:56

Last Modified:

15 Nov 2021 17:37

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