Diffusion bridges for stochastic Hamiltonian systems with applications to shape analysis
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Stochastically evolving geometric systems are studied in geometric mechanics for modelling turbulence parts of multi-scale fluid flows and in shape analysis for stochastic evolutions of shapes of, e.g., human organs. Recently introduced models involve stochastic differential equations that govern the dynamics of a diffusion process X. In applications X is only partially observed at times 0 and T>0. Conditional on these observations, interest lies in inferring parameters in the dynamics of the diffusion and reconstructing the path (X_t, t∈ [0,T]). The latter problem is known as bridge simulation. We develop a general scheme for bridge sampling in the case of finite dimensional systems of shape landmarks and singular solutions in fluid dynamics. This scheme allows for subsequent statistical inference of properties of the fluid flow or the evolution of observed shapes. It covers stochastic landmark models for which no suitable simulation method has been proposed in the literature, that removes restrictions of earlier approaches, improves the handling of the nonlinearity of the configuration space leading to more effective sampling schemes and allows to generalise the common inexact matching scheme to the stochastic setting.
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