On the stability of nonlinear Feynman-Kac semigroups (Q1424017)

The authors consider a renormalized Feynman-Kac semigroup \((\Phi_{s,t})_{0\leq s\leq t}\) acting on the space \({M}_1(E)\) of all probability measures \(\mu\) on a Polish space \(E\), i.e. a semigroup acting on \({M}_1(E)\) in such a way that \[ \Phi_{s,t}(\mu ) (f) = \frac{\mathbb{E}_{s, \mu}[ f(X_t)Z_{s,t}]}{\mathbb{E}_{s, \mu}[ Z_{s,t}]} \] for any bounded measurable \(f:E\to\mathbb{R}\), \((X_{s,t})_{t\geq s}\) denoting a fixed Markov process starting with the probability distribution \(\mu\) at time \(s\), and \((Z_{s,t})_{t\geq s}\) being a positive process given e.g. through \[ Z_{s,t}= \exp\int_s^t V_u(X_u) du \] for some reasonable family of functionals \(V_u:E\to\mathbb{R}\). The first half of the article contains an analysis of several general conditions on the processes \(X\) and \(Z\) under which the semigroup \((\Phi_{s,t})_{0\leq s\leq t}\) is exponentially asymptotically stable, i.e. such that \[ \exists \gamma >0, \sup_{\mu,\nu\in{M}_1(E)} \| \Phi_{s,t}(\mu)-\Phi_{s,t}(\nu)\| _{\text{tv}}\leq e^{-\gamma (t-s)}, \] \(\| .\| _{\text{tv}}\) denoting the total variation norm, and time being discrete (\(s,t\in\mathbb{N}\)) or continuous (\(s,t\in\mathbb{R}_+\)). This is achieved in a very constructive way using Dobrushin's ergodic coefficient, and as a consequence the authors also derive lower bounds for the Lyapunov exponent \(\gamma\). The second half of the article is devoted to several examples of applications where the general results established earlier may be used: Markov killed particles conditioned by non-extinction, interacting jump processes, nonlinear filtering equations.