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

DOI10.1016/J.JMAA.2009.10.019MaRDI QIDQ847756zbMATH OpenOpenAlexFDO

Authors Andreas Eberle, Carlo Marinelli

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

Markov chain Monte Carlosequential Monte Carloimportance samplingDirichlet formsFeynman-Kac formulalogarithmic Sobolev inequalitiesMarkov semigroupstime-inhomogeneous Markov processes\(L^p\) estimatesPoincaré inequalities

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: We introduce a class of time-inhomogeneous transition operators of Feynman-Kac type that can be considered as a generalization of symmetric Markov semigroups to the case of a time-dependent reference measure. Applying weighted Poincar'e and logarithmic Sobolev inequalities, we derive L^p-L^p and L^p-L^q estimates for the transition operators. Since the operators are not Markovian, the estimates depend crucially on the value of p. Our studies are motivated by applications to sequential Markov Chain Monte Carlo methods.

Recommendations

• Classes of time-dependent measures, non-homogeneous Markov processes, and Feynman-Kac propagators
• Nonautonomous Kato classes of measures and Feynman-Kac propagators
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• Classes of time-dependent measures and the behavior of Feynman-Kac propagators
• Feynman--Kac propagators and viscosity solutions

Cites work

• scientific article; zbMATH DE number 194234 (Why is no real title available?)
• scientific article; zbMATH DE number 3478187 (Why is no real title available?)
• scientific article; zbMATH DE number 522891 (Why is no real title available?)
• scientific article; zbMATH DE number 1069282 (Why is no real title available?)
• A function space large deviation principle for certain stochastic integrals
• Eigenvalues, Inequalities, and Ergodic Theory
• Elementary bounds on Poincaré and log-Sobolev constants for decomposable Markov chains
• Geometric bounds for eigenvalues of Markov chains
• Logarithmic Sobolev inequalities for finite Markov chains
• Markov chains and mixing times. With a chapter on ``Coupling from the past by James G. Propp and David B. Wilson.
• Modified logarithmic Sobolev inequalities in discrete settings
• Non-autonomous Kato classes and Feynman--Kac propagators.
• Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
• Sequential Monte Carlo Samplers
• The Markov chain Monte Carlo revolution
• What do we know about the Metropolis algorithm?

Cited in

(3)

• Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
• Feynman-Kac particle integration with geometric interacting jumps
• Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions

This page was built for publication: \(L^p\) estimates for Feynman-Kac propagators with time-dependent reference measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q847756)