The paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling
methods defined on the Riemann manifold to resolve the shortcomings of existing Monte …

We develop exact Markov chain Monte Carlo methods for discretely sampled, directly and
indirectly observed diffusions. The qualification 'exact'refers to the fact that the invariant and …

We consider statistical inference for models specified by stochastic differential equations
(SDES). Stochastic differential equations provide a natural model for processes which at …

The methodological framework developed and reviewed in this article concerns the
unbiased Monte Carlo estimation of the transition density of a diffusion process, and the …

This note discusses convergence rate of a linearization method for the discretization of
stochastic differential equations with multiplicative noise. The method is to approximate the …