Conditional Path Sampling of SDEs and the Langevin MCMC Method
Andrew M. Stuart, Jochen Voß, Petter Wilberg · Communications in Mathematical Sciences · 2004
We introduce a stochastic PDE based approach to sampling paths of SDEs, con ditional 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 endpoint conditions (bridges) and nonlinear filter/smoothers.