144 citations · 329 across the 21 of their papers we have counts for
21 papers
On the exit-problem for self-interacting diffusions
Ashot Aleksian, Pierre Del Moral, Aline Kurtzmann +1
We study the exit-time from a domain of a self-interacting diffusion, where the Brownian motion is replaced by for a constant . The first part of this work consists in sh…
A note on Riccati matrix difference equations
Pierre del Moral, Emma Horton
Discrete algebraic Riccati equations and their fixed points are well understood and arise in a variety of applications, however, the time-varying equations have not yet been fully…
A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters
Pierre del Moral, Emma Horton
Despite the widespread usage of discrete generation Ensemble Kalman particle filtering methodology to solve nonlinear and high dimensional filtering and inverse problems, little is…
A second order analysis of McKean-Vlasov semigroups
M Arnaudon, P del Moral
We propose a second order differential calculus to analyze the regularity and the stability properties of the distribution semigroup associated with McKean-Vlasov diffusions. This…
On the stability of matrix-valued Riccati diffusions
Adrian N. Bishop, Pierre Del Moral
The stability properties of matrix-valued Riccati diffusions are investigated. The matrix-valued Riccati diffusion processes considered in this work are of interest in their own ri…
A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
Marc Arnaudon, Pierre del Moral
Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. This article presents a…