Showing 2015 · stat.COShow all
2 papers · 2 filters
stat.CO2015
Improved bridge constructs for stochastic differential equations
Gavin A. Whitaker, Andrew Golightly, Richard J. Boys +1
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an Itô stochastic differential equation conditional on an obs…
stat.CO2015
Bayesian inference for diffusion driven mixed-effects models
Gavin A. Whitaker, Andrew Golightly, Richard J. Boys +1
Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes…