3 papers
math.PR2024
On the Particle Approximation of Lagged Feynman-Kac Formulae
Elsiddig Awadelkarim, Michel Caffarel, Pierre Del Moral +1
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and…
math.NA2024
Multilevel Particle Filters for Partially Observed McKean-Vlasov Stochastic Differential Equations
Elsiddig Awadelkarim, Ajay Jasra
In this paper we consider the filtering problem associated to partially observed McKean-Vlasov stochastic differential equations (SDEs). The model consists of data that are observe…
stat.CO2023
Unbiased Parameter Estimation for Partially Observed Diffusions
Elsiddig Awadelkarim, Ajay Jasra, Hamza Ruzayqat
In this article we consider the estimation of static parameters for partially observed diffusion process with discrete-time observations over a fixed time interval. In particular,…