\(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures

DOI10.1016/j.jmaa.2009.10.019zbMath1200.60063arXiv0905.4411OpenAlexW2009173356MaRDI QIDQ847756

Andreas Eberle, Carlo Marinelli

Publication date: 19 February 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.4411

zbMATH Keywords

importance samplingMarkov chain Monte Carlologarithmic Sobolev inequalitiesMarkov semigroupsDirichlet formsFeynman-Kac formulaPoincaré inequalitiessequential Monte Carlotime-inhomogeneous Markov processes\(L^p\) estimates

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions ⋮ Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods ⋮ Feynman-Kac Particle Integration with Geometric Interacting Jumps

Cites Work

• Geometric bounds for eigenvalues of Markov chains
• Modified logarithmic Sobolev inequalities in discrete settings
• What do we know about the Metropolis algorithm?
• Elementary bounds on Poincaré and log-Sobolev constants for decomposable Markov chains
• A function space large deviation principle for certain stochastic integrals
• Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
• Logarithmic Sobolev inequalities for finite Markov chains
• Sequential Monte Carlo Samplers
• The Markov chain Monte Carlo revolution
• Eigenvalues, Inequalities, and Ergodic Theory
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