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EP/G026521/1 - Inference for Diffusions and Related Processes

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Professor G O Roberts EP/G026521/1 - Inference for Diffusions and Related Processes

Principal Investigator - Statistics, University of Warwick

Scheme

Standard Research

Research Areas

Mathematical Analysis Mathematical Analysis

Statistics and Applied Probability Statistics and Applied Probability

Related Grants

EP/G028745/1

Start Date

11/2009

End Date

10/2012

Value

£311,940

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Grant Description

Summary and Description of the grant

Traditional methods for diffusion simulation and related Monte Carlo methods have relied on time-discretisation techniques. This approach has two significant disadvantages: it is usually approximate, and time increments typically need to be small to ensure adequacy of the approximation, and thus methods can be computationally expensive.Recent new methodology for this problem has circumvented the need to disretise time by the use of a powerful and flexible new simulation idea known as Retrospective Sampling. This methodology produces exact simulations (to the accuracy constraints of any computer used for the experiment) and has remarkable efficiency properties, so that there appears to be no cost for exactness in this case. However the Exact Algorithm (EA) framework can be applied only for certain classes of diffusion processes (although this class essentially includes all one-dimensional non-explosive diffusions)This project aims to extend the framework above to a very rich and diverse class of stochastic processes, such as jump diffusions, hypo-elliptic diffusions and solutions of stochastic partial differential equations). The approach is to work both with pure simulation methodology and also with related (and more flexible) importance sampling techniques.There are many potential applications of these methods in scientific problems. We will focus on two important areas. The use of diffusion-related models in Systems Biology is expanding rapidly, and we will apply our methodology here. Secondly, we will consider the problem of rare event simulation in molecular dynamics simulation.

Structured Data / Microdata


Grant Event Details:
Name: Inference for Diffusions and Related Processes - EP/G026521/1
Start Date: 2009-11-01T00:00:00+00:00
End Date: 2012-10-31T00:00:00+00:00

Organization: University of Warwick

Description: Traditional methods for diffusion simulation and related Monte Carlo methods have relied on time-discretisation techniques. This approach has two significant disadvantages: it is usually approximate, and time increments typically need to be small to ensure ...