2 papers
math.ST2021
Bridge Simulation and Metric Estimation on Lie Groups
Mathias Højgaard Jensen, Sarang Joshi, Stefan Sommer
We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian…
math.PR2019
Simulation of Conditioned Diffusions on the Flat Torus
Mathias Højgaard Jensen, Anton Mallasto, Stefan Sommer
Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for e…