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math.PR2014
Exponential mixing properties for time inhomogeneous diffusion processes with killing
Pierre Del Moral, Denis Villemonais
We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of with a smooth boundary. The process…
math.PR2014★ 9 cited
On particle Gibbs Markov chain Monte Carlo models
P. Del Moral, R. Kohn, F. Patras
This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural inter…