Recherche
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A sharp first order analysis of Feynman–Kac particle models, Part I: Propagation of chaos
(Stochastic Processes and their Applications. vol. 128, n° 1, pp. 332 - 353, 2018-01)Article de revue -
Valuation of barrier options using sequential Monte Carlo
(The Journal of Computational Finance, 2016-10)Article de revue -
A perturbation analysis of stochastic matrix Riccati diffusions
(Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2020)Article de revue -
Stochastic Processes: From Applications to Theory
(2016-12-19)Ouvrage -
A Berry-Esseen theorem for Feynman-Kac and interacting particle models
(The Annals of Applied Probability. vol. 15, n° 1B, pp. 941-962, 2005)Article de revue