Open Access
December 2004 Conditional Path Sampling of SDEs and the Langevin MCMC Method
Andrew M. Stuart, Jochen Voss, Petter Wilberg
Commun. Math. Sci. 2(4): 685-697 (December 2004).


We introduce a stochastic PDE based approach to sampling paths of SDEs, conditional on observations. The SPDEs are derived by generalising the Langevin MCMC method to infinite dimensions. Various applications are described, including sampling paths subject to two end-point conditions (bridges) and nonlinear filter/smoothers.


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Andrew M. Stuart. Jochen Voss. Petter Wilberg. "Conditional Path Sampling of SDEs and the Langevin MCMC Method." Commun. Math. Sci. 2 (4) 685 - 697, December 2004.


Published: December 2004
First available in Project Euclid: 3 March 2005

zbMATH: 1082.65004
MathSciNet: MR2119934

Rights: Copyright © 2004 International Press of Boston

Vol.2 • No. 4 • December 2004
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