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math.NA2024
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
Yuga Iguchi, Ajay Jasra, Mohamed Maama +1
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-ellipti…
math.NA2023★ 5 cited
Antithetic Multilevel Particle Filters
Ajay Jasra, Mohamed Maama, Hernando Ombao
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. This is a challenging problem whi…