3 citations · 3 across the 3 of their papers we have counts for
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stat.CO2018
Multilevel Particle Filters for Lévy-driven stochastic differential equations
Ajay Jasra, Kody J. H. Law, Prince Peprah Osei
We develop algorithms for computing expectations of the laws of models associated to stochastic differential equations (SDEs) driven by pure Lévy processes. We consider filtering s…
stat.CO2016★ 3 cited
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…