Simulation of elliptic and hypo-elliptic conditional diffusions
Journal article, 2020
partially observed diffusion
Diffusion bridge
guided proposal
Langevin sampler
twice-integrated diffusion
Monte Carlo method
FitzHugh-Nagumo model
Author
Joris Bierkens
Vrije Universiteit Amsterdam
Frank van der Meulen
Delft University of Technology
Moritz Schauer
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Advances in Applied Probability
0001-8678 (ISSN) 1475-6064 (eISSN)
Vol. 52 1 173-212Subject Categories
Mathematics
Probability Theory and Statistics
DOI
10.1017/apr.2019.54