Sampling Conditioned Diffusions

By Jochen Voss, on 2007-11-12

Today I completed another article, which will eventually appear in the conference proceedings for Heinrich v. Weizsäcker's birthday conference:

• M. Hairer, A.M. Stuart and J. Voss: Sampling Conditioned Diffusions. Pages 159–186 in Trends in Stochastic Analysis, Cambridge University Press, vol. 353 of London Mathematical Society Lecture Note Series, 2009.
  link, preprint:pdf, more…

This is a (hopefully) very nice and readable summary of our project to use SPDEs to construct MCMC methods in infinite dimensional spaces.