181 citations · 755 across the 107 of their papers we have counts for
115 papers
Particle Filtering for a Class of State-Space Models with Low and Degenerate Observational Noise
Abylay Zhumekenov, Alexandros Beskos, Dan Crisan +2
We consider the discrete-time filtering problem in scenarios where the observation noise is low or degenerate. We focus on the case where the observation equation is a linear funct…
Sequential Markov Chain Monte Carlo for Filtering of State-Space Models with Low or Degenerate Observation Noise
Abylay Zhumekenov, Alexandros Beskos, Dan Crisan +2
We consider the discrete-time filtering problem in scenarios where the observation noise is degenerate or low. More precisely, one is given access to a discrete time observation se…
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…
Unbiased and Multilevel Methods for a Class of Diffusions Partially Observed via Marked Point Processes
Miguel Alvarez, Ajay Jasra, Hamza Ruzayqat
In this article we consider the filtering problem associated to partially observed diffusions, with observations following a marked point process. In the model, the data form a poi…
Graph of Graphs: From Nodes to Supernodes in Graphical Models
Maria De Iorio, Willem van den Boom, Alexandros Beskos +2
High-dimensional data analysis typically focuses on low-dimensional structure, often to aid interpretation and computational efficiency. Graphical models provide a powerful methodo…
Multilevel Monte Carlo for a class of Partially Observed Processes in Neuroscience
Mohamed Maama, Ajay Jasra, Kengo Kamatani
In this paper we consider Bayesian parameter inference associated to a class of partially observed stochastic differential equations (SDE) driven by jump processes. Such type of mo…