Simulation of hypo-elliptic conditioned diffusions - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
03 December 2018

Simulation of hypo-elliptic conditioned diffusions

On Monday (03/12/2018), we have another interesting talk in our Probability and Statistics seminar series at TU Delft.
All of you are very welcome.

Frank van der Meulen (TU Delft)When: Monday, December 3rd, 16:00
Where: TU Delft, Faculty EWI, Mekelweg 4, EWI-Lecture hall D@ta

Simulation of hypo-elliptic conditioned diffusions

Consider a diffusion that is constructed as a strong solution to a stochastic differential equation (SDE).  Parameter estimation of discrete time data is hard, due to intractability of the likelihood. To deal with this problem, a popular approach is to use a data-augmentation method, where the latent path is imputed. This imputation boils down to simulation of conditioned diffusions. Over the past decade this area of research has received considerable attention. Virtually all of the proposed methods assume that each component of the SDE is driven by its own Brownian motion. Unfortunately, if this is not the case, they break down. I will discuss how this problem can be dealt with for a wide class of SDE-models.

More details on the seminar’s website: eemcs/the-faculty/departments/ applied-mathematics/applied- probability/events/seminars/