Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing data problem where the diffusion bridges in between discrete-time observations are missing. The computational problem can then be dealt with using a Markov-chain Monte-Carlo method known as data-augmentation. If unknown parameters appear in the diffusion coefficient, direct implementation of data-augmentation results in a Markov chain that is reducible. Furthermore, data-augmentation requires efficient sampling of diffusion bridges, which can be difficult, especially in the multidimensional case. We present a general framework to deal with with these problems that does not rely on discretisation. The construction generalises previous approaches and sheds light on the assumptions necessary to make these approaches work. We define a random-walk type Metropolis-Hastings sampler for updating diffusion bridges. Our methods are illustrated using guided proposals for sampling diffusion bridges. These are Markov processes obtained by adding a guiding term to the drift of the diffusion. We give general guidelines on the construction of these proposals and introduce a time change and scaling of the guided proposal that reduces discretisation error. Numerical examples demonstrate the performance of our methods.
In this section we point out similarities and differences of this paper with respect to related approaches in @cite_31 , @cite_30 , @cite_18 , @cite_25 and @cite_19 . @cite_18 introduced proposals with dynamics governed by the SDE where @math . Sufficient conditions for absolute continuity for both cases are given in @cite_18 . The pulling term @math in the SDE forces @math to hit @math at time @math and the case @math takes the drift of the process into account when proposing bridges. However, for both @math and @math the resulting bridges may not resemble true bridges. An illuminating example is given in the introductory section of @cite_3 .
@cite_30 @cite_18 @cite_3 @cite_19 @cite_31 @cite_25
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Let @math be a smooth scheme over an algebraically closed field @math of characteristic zero and @math a regular function, and write @math Crit @math , as a closed subscheme of @math . The motivic vanishing cycle @math is an element of the @math -equivariant motivic Grothendieck ring @math defined by Denef and Loeser math.AG 0006050 and Looijenga math.AG 0006220, and used in Kontsevich and Soibelman's theory of motivic Donaldson-Thomas invariants, arXiv:0811.2435. We prove three main results: (a) @math depends only on the third-order thickenings @math of @math . (b) If @math is another smooth scheme, @math is regular, @math Crit @math , and @math is an embedding with @math and @math an isomorphism, then @math equals @math "twisted" by a motive associated to a principal @math -bundle defined using @math , where now we work in a quotient ring @math of @math . (c) If @math is an "oriented algebraic d-critical locus" in the sense of Joyce arXiv:1304.4508, there is a natural motive @math , such that if @math is locally modelled on Crit @math , then @math is locally modelled on @math . Using results from arXiv:1305.6302, these imply the existence of natural motives on moduli schemes of coherent sheaves on a Calabi-Yau 3-fold equipped with "orientation data", as required in Kontsevich and Soibelman's motivic Donaldson-Thomas theory arXiv:0811.2435, and on intersections of oriented Lagrangians in an algebraic symplectic manifold. This paper is an analogue for motives of results on perverse sheaves of vanishing cycles proved in arXiv:1211.3259. We extend this paper to Artin stacks in arXiv:1312.0090. where (an)n ENo is some sequence of nonnegative numbers, (Sn),nENo is the sequence of partial sums, S0 = 0, Sn = XflXk, of another sequence (Xk)kEN of i.i.d. random variables, and A c R is a fixed Borel set such as [0,1] or [0, oo). Examples of such convolution series are subordinated distributions (f=0Oan = 1) which arise as distributions of random sums, and harmonic and ordinary renewal measures (a0 = 0, an = 1 n for all n C N in the first, an = 1 for all n C NO in the second case). These examples are in turn essential for the analysis of the large time behaviour of diverse applied models such as branching and queueing processes, they are also of interest in connection with representation theorems such as the Levy representation of infinitely divisible distributions. A traditional approach to such problems is via regular variation: If the underlying random variables are nonnegative we can use Laplace transforms and the related Abelian and Tauberian theorems [see, e.g., Stam (1973) in the context of subordination and Feller (1971, XIV.3) in connection with renewal theory; Embrechts, Maejima, and Omey (1984) is a recent treatment of generalized renewal measures along these lines]. The approach of the present paper is based on the Wiener-Levy-Gel'fand theorem and has occasionally been called the Banach algebra method. In Gruibel (1983) we gave a new variant of this method for the special case of lattice distributions, showing that by using the appropriate Banach algebras of sequences, arbitrarily fine expansions are possible under certain assumptions on the higher-order differences of (P(X1 = n))fnEN. Here we give a corresponding treatment of nonlattice distributions. We restrict ourselves to an analogue of first-order differences and obtain a number of theorems which perhaps are described best as next-term results. To explain this let us consider a special case in more detail. We introduce a new methodology for the numerical solution of Partial Differential Equations in general spatial domains: our algorithms are based on the use of the well-known Alternating Direction Implicit (ADI) approach in conjunction with a certain "Fourier continuation" (FC) method for the resolution of the Gibbs phenomenon. Unlike previous alternating direction methods of order higher than one, which can only deliver unconditional stability for rectangular domains, the present high-order algorithms possess the desirable property of unconditional stability for general domains; the computational time required by our algorithms to advance a solution by one time-step, in turn, grows in an essentially linear manner with the number of spatial discretization points used. In this paper we demonstrate the FC-AD methodology through a variety of examples concerning the Heat and Laplace Equations in two and three-dimensional domains with smooth boundaries. Applications of the FC-AD methodology to Hyperbolic PDEs together with a theoretical discussion of the method will be put forth in a subsequent contribution. The numerical examples presented in this text demonstrate the unconditional stability and high-order convergence of the proposed algorithms, as well the very significant improvements they can provide (in one of our examples we demonstrate a one thousand improvement factor) over the computing times required by some of the most efficient alternative general-domain solvers. Let f be a random Boolean formula that is an instance of 3-SAT. We consider the problem of computing the least real number k such that if the ratio of the number of clauses over the number of variables of f strictly exceeds k , then f is almost certainly unsatisfiable. By a well-known and more or less straightforward argument, it can be shown that kF5.191. This upper bound was improved by to 4.758 by first providing new improved bounds for the occupancy problem. There is strong experimental evidence that the value of k is around 4.2. In this work, we define, in terms of the random formula f, a decreasing sequence of random variables such that, if the expected value of any one of them converges to zero, then f is almost certainly unsatisfiable. By letting the expected value of the first term of the sequence converge to zero, we obtain, by simple and elementary computations, an upper bound for k equal to 4.667. From the expected value of the second term of the sequence, we get the value 4.601q . In general, by letting the U This work was performed while the first author was visiting the School of Computer Science, Carleton Ž University, and was partially supported by NSERC Natural Sciences and Engineering Research Council . of Canada , and by a grant from the University of Patras for sabbatical leaves. The second and third Ž authors were supported in part by grants from NSERC Natural Sciences and Engineering Research . Council of Canada . During the last stages of this research, the first and last authors were also partially Ž . supported by EU ESPRIT Long-Term Research Project ALCOM-IT Project No. 20244 . †An extended abstract of this paper was published in the Proceedings of the Fourth Annual European Ž Symposium on Algorithms, ESA’96, September 25]27, 1996, Barcelona, Spain Springer-Verlag, LNCS, . pp. 27]38 . That extended abstract was coauthored by the first three authors of the present paper. Correspondence to: L. M. Kirousis Q 1998 John Wiley & Sons, Inc. CCC 1042-9832r98r030253-17 253