Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae (Q424504)
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scientific article; zbMATH DE number 6040305
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| English | Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae |
scientific article; zbMATH DE number 6040305 |
Statements
Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae (English)
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1 June 2012
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Feynman-Kac formula
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Markov kernel
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non-asymptotic variance
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multiplicative drift condition
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multiplicative ergodic theorem
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Cox-Ingersoll-Ross process
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0.790425181388855
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0.7794455885887146
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0.7729555368423462
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0.7675316333770752
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