Simulation of elliptic and hypo-elliptic conditional diffusions
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Publication:3298817
DOI10.1017/apr.2019.54zbMath1448.60164arXiv1810.01761OpenAlexW3100710971MaRDI QIDQ3298817
Moritz Schauer, Joris Bierkens, Frank H. van der Meulen
Publication date: 16 July 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.01761
Monte Carlo methodFitzHugh-Nagumo modelpartially observed diffusionguided proposaldiffusion bridgeLangevin samplertwice-integrated diffusion
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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