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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) 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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