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Feynman-Kac measures and Interacting Particle systems :

Selected applications on : Applied Probability & Physics

(see also : (presentation video at the Isaac Newton Institute for Mathematical Sciences 2010), Analysis and Probability in Nice ( lecture 2008, lecture 2010 ), IHP 2010, Bonn 2008 , 2011-Sino-French Summer Institute (lecture 1, lecture 2, and lecture 3) & other application areas)

This webpage presents an overview of resources concerned with stochastic particle methods in numerical physics and applied probability This list of topics is clearly far from being exhaustive, and it is partially biased towards my work on stochastic particle models. More references and links to this subject can be added on demand. This webpage also contains some articles on particle methods and their performance analysis. We also recommend to consult the related webpage on rare event particle simulation, and the one applications in biology and chemistry.

The software BIIPS is a general software developed by the INRIA team ALEA for bayesian inference with interacting particle systems, a.k.a. Sequential Monte Carlo methods. A demonstration of the BiiPS software for estimating the stochastic volatility of financial data can be found in