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11/25/2020
L2 convergence of smooth approximations of Stochastic Differential Equations with unbounded coefficients
The aim of this paper is to obtain convergence in mean in the uniform to...
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07/24/2020
McKean-Vlasov SDEs in nonlinear filtering
Various particle filters have been proposed over the last couple of deca...
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03/01/2019
Discrete gradients for computational Bayesian inference
In this paper, we exploit the gradient flow structure of continuous-time...
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01/18/2019
Algorithms for high-dimensional non-linear filtering and smoothing problems
Several numerical tools designed to overcome the challenges of smoothing...
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07/24/2018