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Advanced MCMC methods for sampling on diffusion pathspace

Beskos, A; Kalogeropoulos, K; Pazos, E; (2013) Advanced MCMC methods for sampling on diffusion pathspace. STOCHASTIC PROCESSES AND THEIR APPLICATIONS , 123 (4) pp. 1415-1453. 10.1016/j.spa.2012.12.001.

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Type: Article
Title: Advanced MCMC methods for sampling on diffusion pathspace
DOI: 10.1016/j.spa.2012.12.001
Keywords: Science & Technology, Physical Sciences, Statistics & Probability, Mathematics, STATISTICS & PROBABILITY, Gaussian measure, Diffusion process, Covariance operator, Hamiltonian dynamics, Mixing time, Stochastic volatility, STOCHASTIC DIFFERENTIAL-EQUATIONS, LIKELIHOOD-BASED INFERENCE, PSEUDO-MARGINAL APPROACH, MONTE-CARLO METHODS, MULTIVARIATE DIFFUSIONS, BAYESIAN-INFERENCE, MODELS, VOLATILITY, ALGORITHM, OPTIONS
UCL classification: UCL > School of BEAMS
UCL > School of BEAMS > Faculty of Maths and Physical Sciences
URI: http://discovery.ucl.ac.uk/id/eprint/1345853
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