114 citations · 178 across the 21 of their papers we have counts for
27 papers
Regular points and the boundary-value problem for a hypoelliptic process in a general smooth domain
Mouad Ramil, Mathias Rousset
We fully describe the set of regular and irregular boundary points for a general hypoelliptic stochastic process absorbed outside a domain . The we…
The particle approximation of quasi-stationary distributions: concentration bounds in the uniform case
Lucas Journel, Mathias Rousset
We study mean-field particle approximations of normalized Feynman-Kac semi-groups, usually called Fleming-Viot or Feynman-Kac particle systems. Assuming various large time stabilit…
A general martingale approach to large noise homogenization
Dimitri Faure, Mathias Rousset
We consider Markov processes with generator of the form , in which generates a so-called dominant process that converges at la…
Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics
Frédéric Cérou, Sofiane Martel, Mathias Rousset
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iterativ…
Entropy minimizing distributions are worst-case optimal importance proposals
Frédéric Cérou, Patrick Héas, Mathias Rousset
Importance sampling of target probability distributions belonging to a given convex class is considered. Motivated by previous results, the cost of importance sampling is quantifie…
Chilled Sampling for Uncertainty Quantification: A Motivation From A Meteorological Inverse Problem
Patrick Héas, Frédéric Cérou, Mathias Rousset
Atmospheric motion vectors (AMVs) extracted from satellite imagery are the only wind observations with good global coverage. They are important features for feeding numerical weath…