Recherche
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MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY
Communication dans un congrès -
Non-Asymptotic Analysis of Adaptive and Annealed Feynman-Kac Particle Models
(2012-09-25)Document de travail - Pré-publication -
A Mean field theory of nonlinear filtering
(Oxford University Press, 2011)Chapitre d'ouvrage -
Interacting path systems for credit portfolio risk analysis
(Bloomberg Press, 2010)Chapitre d'ouvrage -
Comparison of implementations of Gaussian Mixture PHD filters
Communication dans un congrès -
On the Stability and the Approximation of Branching Distribution Flows, with Applications to Nonlinear Multiple Target Filtering
(Stochastic Analysis and Applications. vol. 29, n° 6, 2011)Article de revue -
On the Mathematical foundations of Diffusion Monte Carlo
Document de travail - Pré-publication -
Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems
(SIAM/ASA Journal on Uncertainty Quantification. vol. 11, n° 2, pp. 389-425, 2023-04-25)Article de revue -
Coalescent tree based functional representations for some Feynman-Kac particle models
(The Annals of Applied Probability. vol. 19, n° 2, pp. 778-825, 2009)Article de revue -
A new class of interacting Markov chain Monte Carlo methods
(Comptes Rendus. Mathématique. vol. 348, n° 1-2, pp. 79-83, 2010)Article de revue