2 papers
stat.ME2007
Parameter Estimation for Partially Observed Hypoelliptic Diffusions
Y. Pokern, A. M. Stuart, P. Wiberg
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation…
math.PR2006
Analysis of SPDEs Arising in Path Sampling Part I: The Gaussian Case
M. Hairer, A. M. Stuart, J. Voss +1
In many applications it is important to be able to sample paths of SDEs conditional on observations of various kinds. This paper studies SPDEs which solve such sampling problems. T…