A backward particle interpretation of Feynman-Kac formulae

DOI10.1051/m2an/2010048zbMath1209.65009arXiv0908.2556OpenAlexW2000187726WikidataQ55951933 ScholiaQ55951933MaRDI QIDQ4933350

Pierre Del Moral, Arnaud Doucet, Sumeetpal S. Singh

Publication date: 12 October 2010

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.2556

zbMATH Keywords

numerical examplefunctional central limit theoremsSchrödinger equationshidden Markov modelsFeynman-Kac modelsexponential concentrationconvergence filteringmean field particle algorithmsnon asymptotic estimates

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Schrödinger and Feynman-Kac semigroups (47D08) Stochastic particle methods (65C35)

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