57 citations · 223 across the 23 of their papers we have counts for
4 papers · 1 filter
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is mode…
Automatic Backward Filtering Forward Guiding for Markov processes and graphical models
Frank van der Meulen, Moritz Schauer
We incorporate discrete and continuous time Markov processes as building blocks into probabilistic graphical models with latent and observed variables. We introduce the automatic B…
Diffusion bridges for stochastic Hamiltonian systems and shape evolutions
Alexis Arnaudon, Frank van der Meulen, Moritz Schauer +1
Stochastically evolving geometric systems are studied in shape analysis and computational anatomy for modelling random evolutions of human organ shapes. The notion of geodesic path…
A piecewise deterministic Monte Carlo method for diffusion bridges
Joris Bierkens, Sebastiano Grazzi, Frank van der Meulen +1
We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme…