FAST COMMUNICATION CONDITIONAL PATH SAMPLING OF SDES AND THE LANGEVIN MCMC METHOD*

Communications in Mathematical Sciences

Volumn 2, Issue 4, 2004, Pages 685-697

  Stuart, Andrew M ^a   Voss, Jochen ^a   Wiberg, Petter ^a  

^a UNIVERSITY OF WARWICK   (United Kingdom)

Author keywords

Kalman filter; Mcmc methods; Path sampling; Stochastic partial differential equations

Indexed keywords

EID: 85128865950     PISSN: 15396746     EISSN: 19450796     Source Type: Journal    
DOI: 10.4310/CMS.2004.v2.n4.a7     Document Type: Article

References (19)

1. [1] P. G. Bolhuis, D. Chandler, C. Dellago and P. L. Geissler, Transition path sampling: throwing ropes over rough mountain passes in the dark, Ann. Rev. Phys. Chems., 53, 291—318, 2002.
2. [2] V. Betz and J. Lorinczi, Uniqueness of Gibbs measures relative to Brownian motion, Ann. I.H. Poincaré, 39, 4, 877-889, 2003.
3. [3] A. Beskos and G.O. Roberts, Exact simulations of diffusions, submitted to Annals of AppliedProbability.
4. [4] J.-M. Bernardo and A. F. M. Smith, Bayesian Theory, John Wiley & Sons Ltd., Chichester,1994.
5. [5] S. Chib, M. Pitt and N. Shephard, Likelihood based inference for diffusion driven models, in preparation.
6. [6] C. Dellago, P. G. Bolhuis and P. L. Geissler, Transition path sampling, Adv. Chem. Phys., 123,1-78, 2002.
7. [7] A. Doucet, N. de Freitas and N. Gordon, Sequential Monte Carlo Methods in Practice, Springer,2001.
8. [8] G. Da Prato and J. Zabczyk, Stochastic Equations in Infinite Dimensions, Cambridge Univer-sity Press, 1992.
9. [9] W. E, W. Ren and E. Vanden-Eijnden, Finite temperature string method for the study of rare events, in preparation.
10. [10] W. E, W. Ren and E. Vanden-Eijnden, String methodfor the study of rare events, Phys. Rev. B.,66, 2002.
11. [11] M. Hairer, A. M. Stuart, J. Voss and P. Wiberg, Analysis of some SPDEs arising in path sampling, in preparation.
12. [12] P. E. Kloeden, and E. Platen, Numerical Solution of Stochastic Differential Equations, Appli-cations of Mathematics, Springer, 23, 1999. Corrected Third Printing.
13. [13] J. S. Liu, Monte Carlo Strategies in Scientific Computing, Springer Series in Statistics,Springer, New York, 2001.
14. [14] B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, Springer,Berlin, fifth edition, 1998.
15. [15] C. P. Robert and G. Casella, Monte Carlo Statistical Methods, Springer, New York, 1999.
16. [16] M. Reznikoff and E. Vanden Eijnden, Invariant measures of SPDEs and conditioned diffusions,Preprint, 2004.
17. [17] G. O. Roberts, A. Gelman and W. R. Gilks, Weak convergence and optimal scaling of random walk Metropolis algorithms, Ann. Appl. Prob., 7, 110-120, 1997.
18. [18] G. O. Roberts and O. Stramer, Bayesian inference for incomplete observations of diffusion processes, Biometrika, 88, 603-221, 2001.
19. [19] G. O. Roberts, A. M. Stuart and J. Voss, Langevin sampling in path space: implicit methods and pre-conditioning, in preparation.