Analysis of SPDEs Arising in Path Sampling Part II : The Nonlinear Case April 17 , 2007

@inproceedings{Hairer2006AnalysisOS,
  title={Analysis of SPDEs Arising in Path Sampling Part II : The Nonlinear Case April 17 , 2007},
  author={Martin Hairer and A. M. Stuart and Jochen Voss},
  year={2006}
}
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 equation used in finite dimensional sampling. In this paper conditioned nonlinear SDEs, leading to nonlinear SPDEs for the sampling, are studied. In addition, a class of preconditioned SPDEs is studied, found by applying a Green’s operator to… CONTINUE READING
Highly Cited
This paper has 89 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.

89 Citations

01020'07'10'13'16'19
Citations per Year
Semantic Scholar estimates that this publication has 89 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-10 of 24 references

editors

J. Zabczyk. Symmetric solutions of semilinear stochas Prato, L. Tubaro
Stochastic Partial Differential Equations and Applications II, volume 1390 of Lecture Notes in Mathematics, pages 237–256. Springer, 1988. Proceedings, Trento • 1988
View 5 Excerpts
Highly Influenced

Stochastic Differential Equations and their Applications

X. Mao
Horwood Publishing • 1997
View 1 Excerpt
Highly Influenced

Analysis of SPDEs arising in path sampling

M. Hairer, A. M. Stuart, J. Voss, P. Wiberg
part I: The Gaussian case. Comm. Math. Sci., 3(4):587–603 • 2005
View 3 Excerpts

Invariant measures of SPDEs and conditioned diffusions

M. G. Reznikoff, E. Vanden-Eijnden
C. R. Acad. Sci. Paris, Ser. I, 340:305–308 • 2005
View 2 Excerpts

Real Analysis and Probability

R. M. Dudley
Cambridge University Press, second edition • 2002

Similar Papers

Loading similar papers…