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December 2016 Comment on Article by Chkrebtii, Campbell, Calderhead, and Girolami
Martin Lysy
Bayesian Anal. 11(4): 1269-1273 (December 2016). DOI: 10.1214/16-BA1036

Abstract

The authors present an ingenious probabilistic numerical solver for deterministic differential equations (DEs). The true solution is progressively identified via model interrogations, in a formal framework of Bayesian updating. I have attempted to extend the authors’ ideas to stochastic differential equations (SDEs), and discuss two challenges encountered in this endeavor: (i) the non-differentiability of SDE sample paths, and (ii) the sampling of diffusion bridges, typically required of solutions to the SDE inverse problem.

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Martin Lysy. "Comment on Article by Chkrebtii, Campbell, Calderhead, and Girolami." Bayesian Anal. 11 (4) 1269 - 1273, December 2016. https://doi.org/10.1214/16-BA1036

Information

Published: December 2016
First available in Project Euclid: 30 November 2016

zbMATH: 1357.62119
MathSciNet: MR3577379
Digital Object Identifier: 10.1214/16-BA1036

Rights: Copyright © 2016 International Society for Bayesian Analysis

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Vol.11 • No. 4 • December 2016
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