Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae

DOI10.1016/J.SPA.2012.02.002zbMATH Open1262.60076arXiv1108.3988OpenAlexW2138086114MaRDI QIDQ424504FDOQ424504

Nikolas Kantas, Nick Whiteley, Ajay Jasra

Publication date: 1 June 2012

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

Abstract: This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance of particle approximations of time-homogeneous Feynman-Kac formulae. These formulae appear in a wide variety of applications including option pricing in finance and risk sensitive control in engineering. In direct Monte Carlo approximation of these formulae, the non-asymptotic variance typically increases at an exponential rate in the time parameter. It is shown that a linear bound holds when a non-negative kernel, defined by the logarithmic potential function and Markov kernel which specify the Feynman-Kac model, satisfies a type of multiplicative drift condition and other regularity assumptions. Examples illustrate that these conditions are general and flexible enough to accommodate two rather extreme cases, which can occur in the context of a non-compact state space: 1) when the potential function is bounded above, not bounded below and the Markov kernel is not ergodic; and 2) when the potential function is not bounded above, but the Markov kernel itself satisfies a multiplicative drift condition.

Full work available at URL: https://arxiv.org/abs/1108.3988

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zbMATH Keywords

Feynman-Kac formulamultiplicative ergodic theoremCox-Ingersoll-Ross processMarkov kernelmultiplicative drift conditionnon-asymptotic variance

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Discrete-time Markov processes on general state spaces (60J05) Ergodic theorems, spectral theory, Markov operators (37A30) Transition functions, generators and resolvents (60J35)

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Cited In (10)

• On the stability of sequential Monte Carlo methods in high dimensions
• Inference for dynamic and latent variable models via iterated, perturbed Bayes maps
• On the stability of positive semigroups
• Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
• Central limit theorems for coupled particle filters
• Unbiased parameter estimation for partially observed diffusions
• Stability properties of some particle filters
• Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions
• Gradient free parameter estimation for hidden Markov models with intractable likelihoods
• Likelihood computation for hidden Markov models via generalized two-filter smoothing

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