Unbiased Estimation Using Underdamped Langevin Dynamics-Reference-Cited by-同舟云学术

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Unbiased Estimation Using Underdamped Langevin Dynamics

Published:2023-12-05 Issue:6 Volume:45 Page:A3047-A3070
ISSN:1064-8275
Container-title:SIAM Journal on Scientific Computing
language:en
Short-container-title:SIAM J. Sci. Comput.

Author:

Ruzayqat Hamza¹^ORCID,Chada Neil K.²,Jasra Ajay¹^ORCID

Affiliation:

1. Computer, Electrical, and Mathematical Sciences and Engineering Division, King Abdullah University of Science and Technology, Thuwal, 23955, Kingdom of Saudi Arabia.

2. Department of Actuarial Mathematics and Statistics, Heriot Watt University, Edinburgh, EH14 4AS, UK.

Funder

King Abdullah University of Science and Technology

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Computational Mathematics

Reference36 articles.

1. Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion)

2. Exact simulation of diffusions

3. Coupling and convergence for Hamiltonian Monte Carlo

4. Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions

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