1 citations · 1 across the 4 of their papers we have counts for
4 papers
Fluctuations of Rare Event Simulation with Monte Carlo Splitting in the Small Noise Asymptotics
Frédéric Cérou, Sofiane Martel, Mathias Rousset
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iterativ…
Entropy minimizing distributions are worst-case optimal importance proposals
Frédéric Cérou, Patrick Héas, Mathias Rousset
Importance sampling of target probability distributions belonging to a given convex class is considered. Motivated by previous results, the cost of importance sampling is quantifie…
On Synchronized Fleming-Viot Particle Systems
Frédéric Cérou, Arnaud Guyader, Mathias Rousset
This article presents a variant of Fleming-Viot particle systems, which are a standard way to approximate the law of a Markov process with killing as well as related quantities. Cl…
A Central Limit Theorem for Fleming-Viot Particle Systems with Hard Killing
Bernard Delyon, Frédéric Cérou, Arnaud Guyader +1
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic…