Published March 12, 2009
| metadata_only
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
- DOI
- 10.1017/CBO9781139107020.009
- Resolver ID
- CaltechAUTHORS:20170614-080019284
- Created
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2017-06-14Created from EPrint's datestamp field
- Updated
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2021-11-15Created from EPrint's last_modified field