Improved bridge constructs for stochastic differential equations |
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Authors: | Gavin A Whitaker Andrew Golightly Richard J Boys Chris Sherlock |
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Institution: | 1.School of Mathematics & Statistics,Newcastle University,Newcastle upon Tyne,UK;2.Department of Mathematics and Statistics,Lancaster University,Lancaster,UK |
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Abstract: | We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an Itô stochastic differential equation conditional on an observation taken at a fixed future time-point. Such realisations are typically termed diffusion bridges. Since, in general, no closed form expression exists for the transition densities of the process of interest, a widely adopted solution works with the Euler–Maruyama approximation, by replacing the intractable transition densities with Gaussian approximations. However, the density of the conditioned discrete-time process remains intractable, necessitating the use of computationally intensive methods such as Markov chain Monte Carlo. Designing an efficient proposal mechanism which can be applied to a noisy and partially observed system that exhibits nonlinear dynamics is a challenging problem, and is the focus of this paper. By partitioning the process into two parts, one that accounts for nonlinear dynamics in a deterministic way, and another as a residual stochastic process, we develop a class of novel constructs that bridge the residual process via a linear approximation. In addition, we adapt a recently proposed construct to a partial and noisy observation regime. We compare the performance of each new construct with a number of existing approaches, using three applications. |
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