Published 2005
| Published + Submitted
Journal Article
Open
Analysis of SPDEs arising in path sampling. Part I: The Gaussian case
- Creators
- Hairer, M.
- Stuart, A. M.
- Voss, J.
- Wiberg, P.
Abstract
In many applications it is important to be able to sample paths of SDEs conditional on observations of various kinds. This paper studies SPDEs which solve such sampling problems. The SPDE may be viewed as an infinite dimensional analogue of the Langevin SDE used in finite dimensional sampling. Here the theory is developed for conditioned Gaussian processes for which the resulting SPDE is linear. Applications include the Kalman-Bucy filter/smoother. A companion paper studies the nonlinear case, building on the linear analysis provided here.
Additional Information
© 2005 International Press. Received: September 1, 2005; accepted (in revised version): October 14, 2005. Supported by Marie Curie Fellowship HPMT-CT-2000-00076.Attached Files
Published - euclid.cms.1144429334.pdf
Submitted - 0601095.pdf
Files
euclid.cms.1144429334.pdf
Files
(425.6 kB)
Name | Size | Download all |
---|---|---|
md5:6c17bee706f44cd82b471b604512a5d5
|
223.3 kB | Preview Download |
md5:1ac331f8297e228a950b523bf70aec93
|
202.3 kB | Preview Download |
Additional details
- Eprint ID
- 78121
- Resolver ID
- CaltechAUTHORS:20170612-141658808
- HPMT-CT-2000-00076
- Marie Curie Fellowship
- Created
-
2017-06-12Created from EPrint's datestamp field
- Updated
-
2021-11-15Created from EPrint's last_modified field
- Other Numbering System Name
- Andrew Stuart
- Other Numbering System Identifier
- J65