The filtering distribution is a time-evolving probability distribution on the state of a dynamical system given noisy observations. We study the large-time asymptotics of this probabilityâ€¦ (More)

The basic idea of importance sampling is to use independent samples from a proposal measure in order to approximate expectations with respect to a target measure. It is key to understand how manyâ€¦ (More)

We study Gaussian approximations to the distribution of a diffusion. The approximations are easy to compute: they are defined by two simple ordinary differential equations for the mean and theâ€¦ (More)

Abstract: The basic idea of importance sampling is to use independent samples from one measure in order to approximate expectations with respect to another measure. Understanding how many samples areâ€¦ (More)

A popular approach to semi-supervised learning proceeds by endowing the input data with a graph structure in order to extract geometric information and incorporate it into a Bayesian framework. Weâ€¦ (More)