کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156304 958819 2009 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Laplace approximation of transition densities posed as Brownian expectations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Laplace approximation of transition densities posed as Brownian expectations
چکیده انگلیسی

We construct the Laplace approximation of the Lebesgue density for a discrete partial observation of a multi-dimensional stochastic differential equation. This approximation may be computed integrating systems of ordinary differential equations. The construction of the Laplace approximation begins with the definition of the point of minimum energy. We show how such a point can be defined in the Cameron–Martin space as a maximum a posteriori estimate of the underlying Brownian motion given the observation of a finite-dimensional functional. The definition of the MAP estimator is possible via a renormalization of the densities of piecewise linear approximations of the Brownian motion. Using the renormalized Brownian density the Laplace approximation of the integral over all Brownian paths can be defined. The developed theory provides a method for performing approximate maximum likelihood estimation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 1, January 2009, Pages 208–231
نویسندگان
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