6 citations · 18 across the 9 of their papers we have counts for
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3 papers · 1 filter
stat.CO2020★ 1 cited
Posterior computation with the Gibbs zig-zag sampler
Matthias Sachs, Deborshee Sen, Jianfeng Lu +1
An intriguing new class of piecewise deterministic Markov processes (PDMPs) has recently been proposed as an alternative to Markov chain Monte Carlo (MCMC). In order to facilitate…
stat.CO2016
Some Contributions to Sequential Monte Carlo Methods for Option Pricing
Deborshee Sen, Ajay Jasra, Yan Zhou
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to comp…
stat.CO2016★ 4 cited
On Coupling Particle Filter Trajectories
Deborshee Sen, Alexandre Thiery, Ajay Jasra
Particle filters are a powerful and flexible tool for performing inference on state-space models. They involve a collection of samples evolving over time through a combination of s…