Bridge Simulation and Metric Estimation on Lie Groups

06/07/2021

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by   Mathias Højgaard Jensen, et al.

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We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian bridge measure with respect to the guided process measure. This result generalizes the Euclidean result of Delyon and Hu to Lie groups. We present numerical results of the guided process in the Lie group (3). In particular, we apply importance sampling to estimate the metric on (3) using an iterative maximum likelihood method.