Feynman-Kac particle integration with geometric interacting jumps

DOI10.1080/07362994.2013.817247MaRDI QIDQ2854342zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(11)

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• Residual and stratified branching particle filters
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