Laplace approximation of transition densities posed as Brownian expectations |
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Authors: | Bo Markussen |
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Affiliation: | Department of Natural Sciences, Faculty of Life Science, University of Copenhagen, Thorvaldsensvej 40, DK-1871 Frederiksberg C, Denmark |
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Abstract: | 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. |
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Keywords: | 60H10 60H35 60H40 47N30 |
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