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math.NA2018★ 1 cited
Markov chain Simulation for Multilevel Monte Carlo
Ajay Jasra, Kody Law, Yaxian Xu
This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate e…
math.NA2018
Multi-Index Sequential Monte Carlo Methods for partially observed Stochastic Partial Differential Equations
Yaxian Xu, Ajay Jasra, Kody J. H. Law
In this paper we consider sequential joint state and static parameter estimation given discrete time observations associated to a partially observed stochastic partial differential…