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  4. SAMPLING CONDITIONED HYPOELLIPTIC DIFFUSIONS
 
journal article

SAMPLING CONDITIONED HYPOELLIPTIC DIFFUSIONS

Hairer, Martin  
•
Stuart, Andrew M.
•
Voss, Jochen
April 1, 2011
ANNALS OF APPLIED PROBABILITY

A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type.The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are of fourth-order parabolic type. This allows the treatment of more realistic physical models, for example, one can use the resulting SPDE to study transitions between meta-stable states in mechanical systems with friction and noise. In this situation the restriction of the drift being a gradient can also be lifted.

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Type
journal article
DOI
10.1214/10-AAP708
Web of Science ID

WOS:000289268100008

Author(s)
Hairer, Martin  
Stuart, Andrew M.
Voss, Jochen
Date Issued

2011-04-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALS OF APPLIED PROBABILITY
Volume

21

Issue

2

Start page

669

End page

698

Subjects

EQUATION

•

SPDES

•

Stochastic partial differential equations

•

fourth-order SPDEs

•

hypoelliptic diffusions

•

conditioned stochastic ordinary differential equations

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

EPSRC

EP/E002269/1, EP/F050798/1

ERC

Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241208
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