28 citations · 94 across the 10 of their papers we have counts for
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math.PR2020★ 1 cited
Robust Multiple Stopping -- A Pathwise Duality Approach
Roger J. A. Laeven, John G. M. Schoenmakers, Nikolaus F. F. Schweizer +1
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stop…
math.PR2012★ 9 cited
Non-asymptotic Error Bounds for Sequential MCMC Methods in Multimodal Settings
Nikolaus Schweizer
We prove non-asymptotic error bounds for Sequential MCMC methods in the case of multimodal target distributions. Our bounds depend in an explicit way on upper bounds on relative de…
math.PR2012★ 20 cited
Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators
Nikolaus Schweizer
We provide a generic way of deducing non-asymptotic error bounds for Sequential MCMC methods from suitable stability properties of Feynman-Kac propagators. We show how to derive th…