\(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures

DOI10.1016/j.jmaa.2009.10.019zbMath1200.60063arXiv0905.4411MaRDI QIDQ847756

Carlo Marinelli, Andreas Eberle

Publication date: 19 February 2010

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

Full work available at URL: https://arxiv.org/abs/0905.4411

zbMATH Keywords

importance sampling; Markov chain Monte Carlo; logarithmic Sobolev inequalities; Markov semigroups; Dirichlet forms; Feynman-Kac formula; Poincaré inequalities; sequential Monte Carlo; time-inhomogeneous Markov processes; \(L^p\) estimates

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods, Feynman-Kac Particle Integration with Geometric Interacting Jumps

Cites Work

• Geometric bounds for eigenvalues of Markov chains
• Modified logarithmic Sobolev inequalities in discrete settings
• What do we know about the Metropolis algorithm?
• Elementary bounds on Poincaré and log-Sobolev constants for decomposable Markov chains
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• Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
• Logarithmic Sobolev inequalities for finite Markov chains
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• The Markov chain Monte Carlo revolution
• Eigenvalues, Inequalities, and Ergodic Theory
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