Corstanje Marc, Meulen Frank van der
Department of Mathematics, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands.
Stat Inference Stoch Process. 2025;28(2):8. doi: 10.1007/s11203-025-09326-9. Epub 2025 May 17.
Let be a chemical reaction process, modeled as a multi-dimensional continuous-time jump process. Assume that at given times , linear combinations are observed for given matrices . We show how the process that is conditioned on hitting the states is obtained by a change of measure on the law of the unconditioned process. This results in an algorithm for obtaining weighted samples from the conditioned process. Our results are illustrated by numerical simulations.
设 为一个化学反应过程,建模为多维连续时间跳跃过程。假设在给定时间 ,对于给定矩阵 ,可观测到线性组合 。我们展示了如何通过对无条件过程的律进行测度变换来获得以到达状态 为条件的过程。这产生了一种从条件过程中获取加权样本的算法。我们的结果通过数值模拟进行了说明。