A Central Limit Theorem for Fleming-Viot Particle Systems with Soft Killing

arXiv1611.00515MaRDI QIDQ6279310FDOQ6279310

Authors: Frédéric Cérou, Bernard Delyon, Arnaud Guyader, Mathias Rousset 

Publication date: 2 November 2016

Abstract: The distribution of a Markov process with killing, conditioned to be still alive at a given time, can be approximated by a Fleming-Viot type particle system. In such a system, each particle is simulated independently according to the law of the underlying Markov process, and branches onto another particle at each killing time. The consistency of this method in the large population limit was the subject of several recent articles. In the present paper, we go one step forward and prove a central limit theorem for the law of the Fleming-Viot particle system at a given time under two conditions: a "soft killing" assumption and a boundedness condition involving the "carr'e du champ" operator of the underlying Markov process.

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