On a class of discrete generation interacting particle systems

DOI10.1214/EJP.V6-89MaRDI QIDQ5947979zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Michael A. Kouritzin, Laurent Miclo

Publication date 10 December 2001

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/121970, http://www.emis.de/journals/EJP-ECP/EjpVol6/paper16.abs.html

zbMATH Keywords

central limit theoremFeynman-Kac formulasgenetic algorithmsinteracting particle systemsstochastic approximations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic approximation (62L20) Interacting particle systems in time-dependent statistical mechanics (82C22) Filtering in stochastic control theory (93E11)

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• Microstructure models with short-term inertia and stochastic volatility
• A Berry-Esseen theorem for Feynman-Kac and interacting particle models
• Rates for branching particle approximations of continuous-discrete filters
• Markov chain approximations to filtering equations for reflecting diffusion processes.
• Random assignment versus fixed assignment in multilevel importance splitting for estimating stochastic reach probabilities
• Asymptotic bahavior of the Moran particle system
• On the core property of the cylinder functions class in the construction of interacting particle systems
• Strong Propagations of Chaos in Moran's Type Particle Interpretations of Feynman–Kac Measures
• Interacting particle systems and Yaglom limit approximation of diffusions with unbounded drift
• On a Discrete Variational Problem Involving Interacting Particles
• Branching particle pricers with Heston examples
• On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization

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