6 papers
On Bridging Mixture Distributions
Pierre Del Moral, Ajay Jasra, Ke Zhao
The construction and the stability of bridges between mixture probability measures are investigated. Given a collection of Markov transitions bridging the components of two mixture…
New Trends in the Stability of Sinkhorn Semigroups
Pierre Del Moral, Ajay Jasra
Entropic optimal transport problems play an increasingly important role in machine learning and generative modelling. In contrast with optimal transport maps which often have limit…
Unbiased Approximations for Stationary Distributions of McKean-Vlasov SDEs
Elsiddig Awadelkarim, Neil K. Chada, Ajay Jasra
We consider the development of unbiased estimators, to approximate the stationary distribution of Mckean-Vlasov stochastic differential equations (MVSDEs). These are an important c…
On the Particle Approximation of Lagged Feynman-Kac Formulae
Elsiddig Awadelkarim, Michel Caffarel, Pierre Del Moral +1
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and…
Multilevel Particle Filters for Partially Observed McKean-Vlasov Stochastic Differential Equations
Elsiddig Awadelkarim, Ajay Jasra
In this paper we consider the filtering problem associated to partially observed McKean-Vlasov stochastic differential equations (SDEs). The model consists of data that are observe…
On Time Uniform Wong-Zakai Approximation Theorems
Pierre Del Moral, Shulan Hu, Ajay Jasra +2
We consider the long time behavior of Wong-Zakai approximations of stochastic differential equations. These piecewise smooth diffusion approximations are of great importance in man…