57 citations · 223 across the 23 of their papers we have counts for
4 papers · 1 filter
Conditioning continuous-time Markov processes by guiding
Marc Corstanje, Frank van der Meulen, Moritz Schauer
A continuous-time Markov process can be conditioned to be in a given state at a fixed time using Doob's -transform. This transform requires the typically intractable…
Applied Measure Theory for Probabilistic Modeling
Chad Scherrer, Moritz Schauer
Probabilistic programming and statistical computing are vibrant areas in the development of the Julia programming language, but the underlying infrastructure dramatically predates…
Weak solutions to gamma-driven stochastic differential equations
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To…
Sticky PDMP samplers for sparse and local inference problems
Joris Bierkens, Sebastiano Grazzi, Frank van der Meulen +1
We construct a new class of efficient Monte Carlo methods based on continuous-time piecewise deterministic Markov processes (PDMPs) suitable for inference in high dimensional spars…