Conditioning continuous-time Markov processes by guiding

DOI10.1080/17442508.2022.2150081zbMath1527.60055arXiv2111.11377MaRDI QIDQ6109137

Frank H. van der Meulen, Unnamed Author, Moritz Schauer

Publication date: 27 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.11377

zbMATH Keywords

Markov processesconditional processdiffusionsjump processesDoob's \(h\)-transformlandmark dynamicsguided process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Jump processes on discrete state spaces (60J74)

Cites Work

• Unnamed Item
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• Simulation of conditioned diffusion and application to parameter estimation
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Generalization of a retarded Gronwall-like inequality and its applications
• A technique for exponential change of measure for Markov processes
• Guided proposals for simulating multi-dimensional diffusion bridges
• A geometric framework for stochastic shape analysis
• Quenched invariance principle for random walks on Delaunay triangulations
• Simulation of elliptic and hypo-elliptic conditional diffusions
• References
• Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions
• Bayesian estimation of incompletely observed diffusions
• Shapes and diffeomorphisms

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