scientific article; zbMATH DE number 2106098
From MaRDI portal
Publication:4819702
zbMATH Open1130.60003MaRDI QIDQ4819702FDOQ4819702
Authors: Pierre Del Moral 
Publication date: 4 October 2004
Title of this publication is not available (Why is that?)
Recommendations
central limit theoremasymptotic behaviorFeynman-Kac formulalarge deviation principleinteracting particle system
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Population dynamics (general) (92D25) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to statistical mechanics (82-02) Interacting particle systems in time-dependent statistical mechanics (82C22) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)
Cited In (only showing first 100 items - show all)
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- A method for high-dimensional smoothing
- Subsampling MCMC -- an introduction for the survey statistician
- Fast randomized iteration: diffusion Monte Carlo through the Lens of numerical linear algebra
- On the performance of particle filters with adaptive number of particles
- Asymptotic analysis of model selection criteria for general hidden Markov models
- Analysis and simulation of extremes and rare events in complex systems
- Study of new rare event simulation schemes and their application to extreme scenario generation
- Convergence of the SMC implementation of the PHD filter
- Nonexchangeable random partition models for microclustering
- Theory of segmented particle filters
- Normalizing constants of log-concave densities
- On the role of interaction in sequential Monte Carlo algorithms
- Ensemble Kalman inversion: mean-field limit and convergence analysis
- Limit theorems for cloning algorithms
- Analysis and optimization of weighted ensemble sampling
- A Berry-Esseen theorem for Feynman-Kac and interacting particle models
- Rare event simulation for stochastic dynamics in continuous time
- Inference via low-dimensional couplings
- Feynman-Kac particle integration with geometric interacting jumps
- Central limit theorems for coupled particle filters
- Optimal potential functions for the interacting particle system method
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- Optimizing Weighted Ensemble Sampling of Steady States
- On resampling schemes for particle filters with weakly informative observations
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Practical criteria for \(R\)-positive recurrence of unbounded semigroups
- On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
- An introduction to particle methods with financial applications
- A second order analysis of McKean-Vlasov semigroups
- A practical example for the non-linear Bayesian filtering of model parameters
- Snell envelope with small probability criteria
- A methodology for probabilistic model-based prognosis
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- More on the long time stability of Feynman-Kac semigroups
- A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
- A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
- Path storage in the particle filter
- Ergodic behavior of non-conservative semigroups via generalized Doeblin's conditions
- Error estimates on ergodic properties of discretized Feynman-Kac semigroups
- Uniform sampling in a structured branching population
- Local weak convergence for sparse networks of interacting processes
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- Tempered particle filtering
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- A guided sequential Monte Carlo method for the assimilation of data into stochastic dynamical systems
- Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
- Gradient free parameter estimation for hidden Markov models with intractable likelihoods
- An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
- Biased online parameter inference for state-space models
- Some contributions to sequential Monte Carlo methods for option pricing
- General criteria for the study of quasi-stationarity
- A semi-analytical pricing formula for European options under the rough Heston-CIR model
- Error bounds for sequential Monte Carlo samplers for multimodal distributions
- Asymptotic behaviour of the posterior distribution in approximate Bayesian computation
- Coupled conditional backward sampling particle filter
- Editorial: rare-event simulation for queues
- Finite-sample complexity of sequential Monte Carlo estimators
- Sequential estimation of temporally evolving latent space network models
- Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms
- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- Coupled quantum harmonic oscillators and Feynman-Kac path integrals for linear diffusive particles
- Probabilistic solutions to ordinary differential equations as nonlinear Bayesian filtering: a new perspective
- Annealed Feynman-Kac models
- Particle methods: an introduction with applications
- A high order time discretization of the solution of the non-linear filtering problem
- Approximate Bayesian Computation for a Class of Time Series Models
- Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
- Efficiency of delayed-acceptance random walk metropolis algorithms
- Data assimilation: the Schrödinger perspective
- Full likelihood inference from the site frequency spectrum based on the optimal tree resolution
- Controlled sequential Monte Carlo
- Sequential state inference of engineering systems through the particle move-reweighting algorithm
- Optimisation of interacting particle systems for rare event estimation
- A generalized parallel replica dynamics
- Predictive coarse-graining
- Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models
- Sequential Monte Carlo simulated annealing
- On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
- Bayesian estimation of dynamic asset pricing models with informative observations
- Adaptive Semiparametric Bayesian Differential Equations Via Sequential Monte Carlo
- Optimal SIR algorithm vs. fully adapted auxiliary particle filter: a non asymptotic analysis
- A central limit theorem for temporally nonhomogenous Markov chains with applications to dynamic programming
- Effective branching splitting method under cost constraint
- Bayesian parameter inference for partially observed stopped processes
- Particle efficient importance sampling
- Statistical inference for dynamical systems: a review
- Computing return times or return periods with rare event algorithms
- Bayes factor estimation for nonlinear dynamic state space models
- Weak convergence of non-neutral genealogies to Kingman's coalescent
- Sequential simulation of a conditional Boolean model
- Unbiased estimation of the solution to Zakai's equation
- Computation of extreme values of time averaged observables in climate models with large deviation techniques
- Fractional generalization of Kac integral
- Limit theorems for sequential MCMC methods
- Diffusion Monte Carlo method: Numerical Analysis in a Simple Case
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4819702)
