Recherche
-
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 -
On the stability and the uniform propagation of chaos of Extended Ensemble Kalman-Bucy filters
(SIAM Journal on Control and Optimization. vol. 55, n° 1, pp. 119-155, 2017)Article de revue