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Brus, Daniƫl (author)
In many fields we are interested in inference for a complex stochastic process given limited observations regarding its state over time. This thesis therefore introduces an expectation propagation approach to backward filtering forward guiding for high-dimensional finite-state space models. The backward filtering forward guiding method is first...
master thesis 2023
Corstanje, M.A. (author), van der Meulen, F.H. (author), Schauer, M.R. (author)
A continuous-time Markov process X can be conditioned to be in a given state at a fixed time T>0 using Doob's h-transform. This transform requires the typically intractable transition density of X. The effect of the h-transform can be described as introducing a guiding force on the process. Replacing this force with an approximation...
journal article 2022