Recherche
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An Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration
(2011-09-17)Document de travail - Pré-publication -
Stability of Feynman-Kac formulae with path-dependent potentials
(Stochastic Processes and their Applications. vol. 121, n° 1, pp. 38-60, 2011)Article de revue -
Interacting path systems for credit portfolios risk analysis
(2010)Rapport -
Convergence Properties of Weighted Particle Islands with Application to the Double Bootstrap Algorithm
(Stochastic Systems. vol. 6, n° 2, pp. 367 - 419, 2016-12)Article de revue -
Sequential Monte Carlo for rare event estimation
(Statistics and Computing. vol. 22, n° 3, pp. 795-908, 2012)Article de revue -
Sequential Monte Carlo Methods for Option Pricing
(Stochastic Analysis and Applications. vol. 29, n° 2, pp. 292-316, 2011)Article de revue -
On the Robustness of the Snell envelope
(2011-01-15)Rapport -
BiiPS : un logiciel pour l'inférence bayésienne dans les modèles graphiques utilisant des méthodes de Monte Carlo séquentielles
Communication dans un congrès -
A nonasymptotic theorem for unnormalized Feynman-Kac particle models
(Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. vol. 47, n° 3, pp. 629-649, 2011)Article de revue