362 citations · 470 across the 35 of their papers we have counts for
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Optimal friction matrix for underdamped Langevin sampling
Martin Chak, Nikolas Kantas, Tony Lelièvre +1
A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic vari…
A Lagged Particle Filter for Stable Filtering of certain High-Dimensional State-Space Models
Hamza Ruzayqat, Aimad Er-Raiy, Alexandros Beskos +3
We consider the problem of high-dimensional filtering of state-space models (SSMs) at discrete times. This problem is particularly challenging as analytical solutions are typically…
Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation
Louis Sharrock, Nikolas Kantas, Panos Parpas +1
We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We study two cases: one in which…