Bridge simulation and metric estimation on Lie groups

DOI10.1007/978-3-030-80209-7_47zbMath1487.60084arXiv2106.03431OpenAlexW3186579463MaRDI QIDQ2117882

Stefan Sommer, Sarang Joshi, Mathias Højgaard Jensen

Publication date: 22 March 2022

Full work available at URL: https://arxiv.org/abs/2106.03431

zbMATH Keywords

importance samplingBrownian motionLie groupsBrownian bridge simulationmetric estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Applications of Lie groups to the sciences; explicit representations (22E70) Diffusion processes and stochastic analysis on manifolds (58J65)

Cites Work

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• Simulation of conditioned diffusion and application to parameter estimation
• The radial part of Brownian motion on a manifold: A semimartingale property
• Itô correction terms for the radial parts of semimartingales on manifolds
• Brownian bridges to submanifolds
• Transformations of the Brownian motion on a Riemannian symmetric space
• Some Consequences of the Nature of the Distance Function on the Cut Locus in a Riemannian Manifold
• References

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