Journal
STATISTICS AND COMPUTING
Volume 27, Issue 4, Pages 885-900Publisher
SPRINGER
DOI: 10.1007/s11222-016-9660-3
Keywords
Stochastic differential equation; Multivariate diffusion bridge; Guided proposal; Markov chain Monte Carlo; Linear noise approximation
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We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It 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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