181 citations · 755 across the 107 of their papers we have counts for
7 papers · 2 filters
A Note on Random Walks with Absorbing barriers and Sequential Monte Carlo Methods
Pierre Del Moral, Ajay Jasra
In this article we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of 1-dimensional random walks with absorbing barriers. In particular, w…
Some Contributions to Sequential Monte Carlo Methods for Option Pricing
Deborshee Sen, Ajay Jasra, Yan Zhou
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to comp…
On Coupling Particle Filter Trajectories
Deborshee Sen, Alexandre Thiery, Ajay Jasra
Particle filters are a powerful and flexible tool for performing inference on state-space models. They involve a collection of samples evolving over time through a combination of s…
Multilevel Particle Filters: Normalizing Constant Estimation
Ajay Jasra, Kengo Kamatani, Prince Prepah Osei +1
In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. On…
Forward and Inverse Uncertainty Quantification using Multilevel Monte Carlo Algorithms for an Elliptic Nonlocal Equation
Ajay Jasra, Kody Law, Yan Zhou
This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator…
Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
Pierre Del Moral, Ajay Jasra, Kody Law +1
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum…
Flexible online multivariate regression with variational Bayes and the matrix-variate Dirichlet process
Meng Hwee Victor Ong, David J. Nott, Ajay Jasra
Flexible regression methods where interest centres on the way that the whole distribution of a response vector changes with covariates are very useful in some applications. A recen…