113 citations · 173 across the 13 of their papers we have counts for
12 papers · 1 filter
A Multi-Index Markov Chain Monte Carlo Method
Ajay Jasra, Kengo Kamatani, Kody Law +1
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only r…
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with…
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…
Multilevel Particle Filters: Normalizing Constant Estimation
Ajay Jasra, Kengo Kamatani, Prince Prepah Osei +1
In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. On…
Forward and Inverse Uncertainty Quantification using Multilevel Monte Carlo Algorithms for an Elliptic Nonlocal Equation
Ajay Jasra, Kody Law, Yan Zhou
This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator…