27 citations · 29 across the 4 of their papers we have counts for
4 papers
Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort t…
Some Contributions to Sequential Monte Carlo Methods for Option Pricing
Deborshee Sen, Ajay Jasra, Yan Zhou
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to comp…
Biased Online Parameter Inference for State-Space Models
Yan Zhou, Ajay Jasra
We consider Bayesian online static parameter estimation for state-space models. This is a very important problem, but is very computationally challenging as the state- of-the art m…
A Stable Particle Filter in High-Dimensions
Alex Beskos, Dan Crisan, Ajay Jasra +2
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in with large. For low dimensional probl…