181 citations · 755 across the 107 of their papers we have counts for
4 papers · 2 filters
Multilevel Ensemble Kalman-Bucy Filters
Neil K. Chada, Ajay Jasra, Fangyuan Yu
In this article we consider the linear filtering problem in continuous-time. We develop and apply multilevel Monte Carlo (MLMC) strategies for ensemble Kalman-Bucy filters (EnKBFs)…
A Wasserstein Coupled Particle Filter for Multilevel Estimation
Marco Ballesio, Ajay Jasra, Erik von Schwerin +1
In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must res…
Unbiased Filtering of a Class of Partially Observed Diffusions
Ajay Jasra, Kody Law, Fangyuan Yu
In this article we consider a Monte Carlo-based method to filter partially observed diffusions observed at regular and discrete times. Given access only to Euler discretizations of…
Unbiased Estimation of the Solution to Zakai's Equation
Hamza M. Ruzayqat, Ajay Jasra
In the following article we consider the non-linear filtering problem in continuous-time and in particular the solution to Zakai's equation or the normalizing constant. We develop…