181 citations · 446 across the 49 of their papers we have counts for
6 papers · 1 filter
Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
Pierre Del Moral, Arnaud Doucet
We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong…
On the Stability and the Approximation of Branching Distribution Flows, with Applications to Nonlinear Multiple Target Filtering
Francois Caron, Pierre Del Moral, Michele Pace +1
We analyse the exponential stability properties of a class of measure-valued equations arising in nonlinear multi-target filtering problems. We also prove the uniform convergence p…
Snell envelope with path dependent multiplicative optimality criteria
Pierre Del Moral, Peng Hu, Nadia Oudjane
We analyze the Snell envelope with path dependent multiplicative optimality criteria. Especially for this case, we propose a variation of the Snell envelope backward recursion whic…
Error Analysis of Approximated PCRLBs for Nonlinear Dynamics
Ming Lei, Pierre Del Moral, Christophe Baehr
In practical nonlinear filtering, the assessment of achievable filtering performance is important. In this paper, we focus on the problem of efficiently approximate the posterior C…
Sequential Monte Carlo Methods for Option Pricing
Ajay Jasra, Pierre Del Moral
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are des…
Convergence of U-statistics for interacting particle systems
P. Del Moral, F. Patras, S. Rubenthaler
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assum…