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A sharp first order analysis of Feynman–Kac particle models, Part II: Particle Gibbs samplers
(Stochastic Processes and their Applications. vol. 128, n° 1, pp. 354 - 371, 2018-01)Article de revue -
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 -
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 -
On particle Gibbs samplers
(Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques. vol. 52, n° 4, pp. 1687-1733, 2016)Article de revue -
Exponential mixing properties for time inhomogeneous diffusion processes with killing
(Bernoulli. vol. 24, n° 2, pp. 1010-1032, 2018-01)Article de revue -
A duality formula for Feynman–Kac path particle models
(Comptes rendus de l'Académie des sciences. Série I, Mathématique. vol. 353, n° 5, pp. 465–469, 2015)Article de revue -
A Lognormal Central Limit Theorem for Particle Approximations of Normalizing Constants
(Electronic Journal of Probability. vol. 19, 2014)Article de revue -
Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
(Advances in Applied Probability. vol. 54, n° 4, pp. 1139-1163, 2022-12)Article de revue