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

  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},
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
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