113 citations · 209 across the 21 of their papers we have counts for
23 papers
An example of Ensemble Kalman Filter with resampling
Sylvain Rubenthaler
This paper introduces the Exact Ensemble Kalman Filter (ExEnKF), a novel algorithm for state estimation in discrete-time nonlinear filtering problems with linear observations. Unli…
Option pricing and hedging for regime-switching geometric Brownian motion models
Bruno Remillard, Sylvain Rubenthaler
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by…
Counterexample to a transition probability formula for the ancestral process
Sylvain Rubenthaler
We consider weighted particle systems in which new generations are re-sampled from current particles with probabilities proportional to their weights. This covers a broad class of…
A centra-limit theorem for conservative fragmentation chain
Camille Noûs, Sylvain Rubenthaler
We are interested in a fragmentation process. We observe fragments frozen when their sizes are less than ε (ε > 0). It is known ([BM05]) that the empirical measure of these fragmen…
Ensemble Rejection Sampling
George Deligiannidis, Arnaud Doucet, Sylvain Rubenthaler
We introduce Ensemble Rejection Sampling, a scheme for exact simulation from the posterior distribution of the latent states of a class of non-linear non-Gaussian state-space model…
Central-limit theorem for conservative fragmentation chains
Sylvain Rubenthaler
We are interested in a fragmentation process. We observe fragments frozen when their sizes are less than ( > 0). Is is known ([BM05]) that the empirical measure of these fra…