Feynman-Kac particle integration with geometric interacting jumps

DOI10.1080/07362994.2013.817247zbMATH Open1293.62166arXiv1211.7191OpenAlexW2014668756MaRDI QIDQ2854342FDOQ2854342

Authors: Pierre Del Moral, Pierre E. Jacob, Lawrence M. Murray, Gareth W. Peters, Anthony Lee 

Publication date: 18 October 2013

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

Abstract: This article is concerned with the design and analysis of discrete time Feynman-Kac particle integration models with geometric interacting jump processes. We analyze two general types of model, corresponding to whether the reference process is in continuous or discrete time. For the former, we consider discrete generation particle models defined by arbitrarily fine time mesh approximations of the Feynman-Kac models with continuous time path integrals. For the latter, we assume that the discrete process is observed at integer times and we design new approximation models with geometric interacting jumps in terms of a sequence of intermediate time steps between the integers. In both situations, we provide non asymptotic bias and variance theorems w.r.t. the time step and the size of the system, yielding what appear to be the first results of this type for this class of Feynman-Kac particle integration models. We also discuss uniform convergence estimates w.r.t. the time horizon. Our approach is based on an original semigroup analysis with first order decompositions of the fluctuation errors.

Full work available at URL: https://arxiv.org/abs/1211.7191

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zbMATH Keywords

measure valued processesFeynman-Kac formulaeinteracting jump particle systemsnonasymptotic bias and variance estimates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic approximation (62L20) Random measures (60G57) Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (11)

• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Residual and stratified branching particle filters
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
• On resampling schemes for particle filters with weakly informative observations
• A second order analysis of McKean-Vlasov semigroups
• Bias of particle approximations to optimal filter derivative
• A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
• Error estimates on ergodic properties of discretized Feynman-Kac semigroups
• Nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models
• A duality formula for Feynman-Kac path particle models

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