181 citations · 446 across the 49 of their papers we have counts for
6 papers · 1 filter
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…
On the Stability of Kalman-Bucy Diffusion Processes
Adrian N. Bishop, Pierre Del Moral
The Kalman-Bucy filter is the optimal state estimator for an Ornstein-Uhlenbeck diffusion given that the system is partially observed via a linear diffusion-type (noisy) sensor. Un…
On the stability and the uniform propagation of chaos of a class of Extended Ensemble Kalman-Bucy filters
Pierre Del Moral, Aline Kurtzmann, Julian Tugaut
This article is concerned with the exponential stability and the uniform propagation of chaos properties of a class of Extended Ensemble Kalman-Bucy filters with respect to the tim…
On the Stability and the Exponential Concentration of Extended Kalman-Bucy filters
Pierre Del Moral, Aline Kurtzmann, Julian Tugaut
The exponential stability and the concentration properties of a class of extended Kalman-Bucy filters are analyzed. New estimation concentration inequalities around partially obser…
On the stability and the uniform propagation of chaos properties of Ensemble Kalman-Bucy filters
Pierre Del Moral, Julian Tugaut
The Ensemble Kalman filter is a sophisticated and powerful data assimilation method for filtering high dimensional problems arising in fluid mechanics and geophysical sciences. Thi…
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…