Convergence rates for residual branching particle filters

DOI10.1016/J.JMAA.2016.12.046MaRDI QIDQ508964zbMATH OpenOpenAlexFDO

Authors Michael A. Kouritzin

Publication date 8 February 2017

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2016.12.046

zbMATH Keywords

sequential Monte Carlocentral limit theoremcouplingbranching processMcKean-Vlasov particle systemMarcinkiewicz strong laws of large numbers

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited in

(7)

• Rates for branching particle approximations of continuous-discrete filters
• Residual and stratified branching particle filters
• Particle filters with random resampling times
• Convergence of the Markov Chain Distributed Particle Filter (MCDPF)
• Convergence rates of kernel density estimates in particle filtering
• Branching particle pricers with Heston examples
• VIX-linked fees for GMWBs via explicit solution simulation methods

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