Sampling conditioned hypoelliptic diffusions

Details Sampling conditioned hypoelliptic diffusions Sampling conditioned hypoelliptic diffusions

2009-08-02

arxiv.org/abs/0908.0162v3

Annals of Applied Probability 2011, Vol. 21, No. 2, 669-698

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/10-AAP708 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/10-AAP708

A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are of fourth-order parabolic type. This allows the treatment of more realistic physical models, for example, one can use the resulting SPDE to study transitions between meta-stable states in mechanical systems with friction and noise. In this situation the restriction of the drift being a gradient can also be lifted.

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