1 citations · 1 across the 2 of their papers we have counts for
3 papers
stat.ME2016
Unbiased local solutions of partial differential equations via the Feynman-Kac Identities
Jake Carson, Murray Pollock, Mark Girolami
The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation…
stat.ME2015★ 1 cited
On the Exact Simulation of (Jump) Diffusion Bridges
Murray Pollock
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of con…
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…