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ESAIM: Proceedings

Vol. 19 (2007)

Conference Oxford sur les méthodes de Monte Carlo séquentielles

Christophe Andrieu & Dan Crisan, Editors

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• Foreword     p. I
  Christophe Andrieu and Dan Crisan
  PDF file (72.59 KB)



• Convergence of the equi-energy sampler     p. 1
  Christophe Andrieu, Ajay Jasra, Arnaud Doucet and Pierre Del Moral
  Abstract | PDF file (140.8 KB)



• On the use of sequential Monte Carlo methods for approximating smoothing functionals, with application to fixed parameter estimation     p. 6
  Jimmy Olsson, Olivier Cappé, Randal Douc and Éric Moulines
  Abstract | PDF file (178.1 KB)



• Particle filtering for continuous-time hidden Markov models     p. 12
  Nicolas Chopin and Elisa Varini
  Abstract | PDF file (106.1 KB)



• An approximate McKean-Vlasov model for the stochastic filtering problem     p. 18
  Dan Crisan and Jie Xiong
  Abstract | PDF file (122.0 KB)



• Stability of sequential Markov Chain Monte Carlo methods     p. 22
  Andreas Eberle and Carlo Marinelli
  Abstract | PDF file (176.5 KB)



• The filtering problem: an application of weak approximations of SDEs     p. 32
  Saadia Ghazali
  Abstract | PDF file (160.2 KB)



• Particle filters for continuous-time jump models in tracking applications     p. 39
  Simon Godsill
  Abstract | PDF file (276.2 KB)



• The marginalized particle filter - analysis, applications and generalizations     p. 53
  Thomas B. Schön, Rickard Karlsson and Fredrik Gustafsson
  Abstract | PDF file (582.2 KB)



• Adaptive particle techniques and rare event estimation     p. 65
  Frédéric Cérou and Arnaud Guyader
  Abstract | PDF file (175.1 KB)



• Stability of the discrete time filter in terms of the tails of noise distributions     p. 73
  Kari Heine
  Abstract | PDF file (141.7 KB)



• Non-linear Markov Chain Monte Carlo     p. 79
  Christophe Andrieu, Ajay Jasra, Arnaud Doucet and Pierre Del Moral
  Abstract | PDF file (137.9 KB)



• Combined use of importance weights and resampling weights in sequential Monte Carlo methods     p. 85
  Francois Le Gland
  Abstract | PDF file (219.3 KB)



• Limit theorems for weighted samples with applications to sequential Monte Carlo methods     p. 101
  R. Douc and E. Moulines
  Abstract | PDF file (164.2 KB)



• Particle Filters for Multiscale Diffusions     p. 108
  Anastasia Papavasiliou
  Abstract | PDF file (157.6 KB)



• Particle filter-based approximate maximum likelihood inference asymptotics in state-space models     p. 115
  Jimmy Olsson and Tobias Rydén
  Abstract | PDF file (161.2 KB)



• Numerical solutions for a class of SPDEs over bounded domains     p. 121
  Dan Crisan and Jie Xiong
  Abstract | PDF file (131.6 KB)

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© EDP Sciences, ESAIM 2007