Beskos, A and Kalogeropoulos, K and Pazos, E (2013) Advanced MCMC methods for sampling on diffusion pathspace. STOCHASTIC PROCESSES AND THEIR APPLICATIONS , 123 (4) 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: | Gaussian measure, Diffusion process, Covariance operator, Hamiltonian dynamics, Mixing time, Stochastic volatility |
| UCL classification: | UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science |
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