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Feynman-Kac measures and Interacting Particle systems :

Selected applications on : Risk analysis and Rare event simulation

(see also : AREVA 2011, IHP 2010, Bonn 2006, 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 risk analysis and rare event simulation. 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.