Published March 12, 2009
| public
Book Section - Chapter
Sampling conditioned diffusions
- Creators
- Hairer, Martin
-
Stuart, Andrew
-
Voss, Jochen
Abstract
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/ smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite-dimensional generalization of the Langevin sampling technique.
Additional Information
© 2009 Cambridge University Press. Print publication year: 2009.Additional details
- Eprint ID
- 78188
- Resolver ID
- CaltechAUTHORS:20170614-080019284
- Created
-
2017-06-14Created from EPrint's datestamp field
- Updated
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2021-11-15Created from EPrint's last_modified field
- Series Name
- London Mathematical Society lecture note series
- Series Volume or Issue Number
- 353
- Other Numbering System Name
- Andrew Stuart
- Other Numbering System Identifier
- C11