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research article
ANALYSIS OF SPDES ARISING IN PATH SAMPLING PART I: THE GAUSSIAN CASE
January 1, 2005
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. The SPDE may be viewed as an infinite dimensional analogue of the Langevin SDE used in finite dimensional sampling. Here the theory is developed for conditioned Gaussian processes for which the resulting SPDE is linear. Applications include the Kalman-Bucy filter/smoother. A companion paper studies the nonlinear case, building on the linear analysis provided here
Type
research article
Scopus ID
2-s2.0-34248634668
Authors
Publication date
2005-01-01
Published in
Volume
3
Issue
4
Start page
587
End page
603
Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
September 17, 2024
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