Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-dimensional and their transition functions are typically intractable. In statistical settings such as parameter inference for discretely observed diffusions, we require simulation techniques for diffusions conditioned on hitting a given endpoint, which introduces further complication. In this paper we introduce a Markov chain Monte Carlo algorithm for simulating bridges of ergodic diffusions which (i) is exact in the sense that there is no discretisation error, (ii) has computational cost that is linear in the duration of the bridges, and (iii) provides bounds on local maxima and minima of the simulated trajectory. Our approach works directly on diffusion path space, by constructing a proposal (which we term a confluence) that is then corrected with an accept/reject step in a pseudo-marginal algorithm. Our method requires only the simulation of unconditioned diffusion sample paths. We apply our approach to the simulation of Langevin diffusion bridges, a practical problem arising naturally in many situations, such as statistical inference in distributed settings.
翻译:扩散是金融、工程和生物学等许多领域的基本模型类别。 模拟扩散具有挑战性, 因为它们的样本路径是无限的, 其过渡功能通常难以操作。 在诸如参数推导等统计环境中, 我们要求以击中某个特定端点为条件的传播模拟技术, 从而带来进一步的复杂。 在本文中, 我们引入了一个 Markov 链 Monte Carlo 算法, 用于模拟( i) 准确意义上的不分离错误, (ii) 其计算成本在桥梁持续期间是线性的, 并且 (iii) 提供模拟轨迹的本地最大值和最小值的界限。 我们的方法直接在扩散路径空间上工作, 构建一个建议( 我们称之为“ 共引力 ”), 然后在假边界算法中以接受/ 倾斜点步骤校正。 我们的方法只需要模拟不固定的传播路径。 我们对模拟Langevin 扩散桥采用我们的方法, 这是一个在多种情况下自然产生的实际问题, 例如在分布环境中的统计推算法 。