756 citations · 3.9k across the 84 of their papers we have counts for
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stat.ME2015★ 8 cited
Exact sampling of diffusions with a discontinuity in the drift
Omiros Papaspiliopoulos, Gareth O. Roberts, Kasia B. Taylor
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of fin…
stat.ME2015
Discussion of "Sequential Quasi-Monte-Carlo Sampling" by M. Gerber and N. Chopin
M. Pollock, A. M. Johansen, K. Łatuszyński +1
In this comment we consider whether QMC methods can be further embedded within SMC schemes in settings in which the transition density of the latent process is intractable and pseu…