منابع مشابه
Lifetimes of Conditioned Diffusions
We investigate when an upper bound on expected lifetimes of conditioned diffusions associated with elliptic operators in divergence and non-divergence form can be found. The critical value of the parameter is found for each of the following classes of domains: Lpdomains (p = n− 1), uniformly regular twisted Lp-domains (p = n− 1), and twisted Hölder domains (α = 1/3). A related parabolic boundar...
متن کاملSimulation of conditioned diffusions
In this paper, we propose some algorithms for the simulation of the distribution of certain diffusions conditioned on terminal point. We prove that the conditional distribution is absolutely continuous with respect to the distribution of another diffusion which is easy for simulation, and the formula for the density is given explicitly.
متن کاملSampling Conditioned Hypoelliptic Diffusions
A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this metho...
متن کاملSampling Conditioned Diffusions
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite dimensional generalisation of the Langevin sampling technique.
متن کاملInvariant measures of stochastic partial differential equations and conditioned diffusions
This work establishes and exploits a connection between the invariant measure of stochastic partial differential equations (SPDEs) and the law of bridge processes. Namely, it is shown that the invariant measure of ut = uxx + f (u)+ √ 2ε η(x, t), where η(x, t) is a space–time white-noise, is identical to the law of the bridge process associated to dU = a(U)dx+√ε dW(x), provided that a and f are ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 1992
ISSN: 0178-8051,1432-2064
DOI: 10.1007/bf01192065