Sampling conditioned diffusions

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.

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© 2009 Cambridge University Press. Print publication year: 2009.

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