This webpage presents an overview of resources concerned with stochastic particle methods in risk analysis and rare event simulation.
Stochastic Hybrid Systems, Aircraft Conflits
Optics Communications Networks
Financial risk analysis
Satellite versus debris collisions
Networks and Queueing Systems
Rare event particle sampling models
Feynman-Kac particle models and performance analysis
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 the particle and sequential Monte Carlo methodology,
and the performance analysis of these algorithms.
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