181 citations · 446 across the 49 of their papers we have counts for
6 papers · 1 filter
On One-Dimensional Riccati Diffusions
Adrian N. Bishop, Pierre Del Moral, Kengo Kamatani +1
This article is concerned with the fluctuation analysis and the stability properties of a class of one-dimensional Riccati diffusions. These one-dimensional stochastic differential…
An Introduction to Wishart Matrix Moments
Adrian N. Bishop, Pierre Del Moral, Angele Niclas
These lecture notes provide a comprehensive, self-contained introduction to the analysis of Wishart matrix moments. This study may act as an introduction to some particular aspects…
A perturbation analysis of stochastic matrix Riccati diffusions
Adrian N. Bishop, Pierre Del Moral, Angele Niclas
Matrix differential Riccati equations are central in filtering and optimal control theory. The purpose of this article is to develop a perturbation theory for a class of stochastic…
A Taylor expansion of the square root matrix functional
Pierre Del Moral, Angele Niclas
This short note provides an explicit description of the Fréchet derivatives of the principal square root matrix functional at any order. We present an original formulation that all…
Unbiased Multi-index Monte Carlo
Dan Crisan, Pierre Del Moral, Jeremie Houssineau +1
We introduce a new class of Monte Carlo based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from…
Perturbations and projections of Kalman-Bucy semigroups
Adrian N. Bishop, Pierre Del Moral, Sahani D. Pathiraja
We analyse various perturbations and projections of Kalman-Bucy semigroups and Riccati equations. For example, covariance inflation-type perturbations and localisation methods (pro…