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stat.ME2024
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…
math.PR2024
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…
math.NA2024
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…