Randomness and order in the exact sciences

Randomness – from micro to macro

Monday 2 September 2013
House of the Estates
Säätytalo, Helsinki, Finland

Gareth Roberts
CRiSM, University of Warwick


	Professor of Statistics and Director of the Centre for Research in Statistical Methodology, University of Warwick. Research areas span probability and statistics, especially computational and Bayesian statistics, computational probability, inference for stochastic processes, epidemic models and inference with applications to veterinary and human populations.

Title: Retrospective Simulation

Abstract: The motivation behind this work is the desire to perform exact stochastic simulation (ie free from discretisation or other approximation) in extremely high and often infinite dimensional context. The presentation will introduce novel but simple modifications of classical simulation algorithms (retrospective modifications) which can achieve these aims in a number of examples including various problems from Bayesian statistics, and the simulation of diffusion process sample paths.

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