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

DOI10.1016/J.JMAA.2009.10.019zbMATH Open1200.60063arXiv0905.4411OpenAlexW2009173356MaRDI QIDQ847756FDOQ847756

Authors: Andreas Eberle, Carlo Marinelli 

Publication date: 19 February 2010

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

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.

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

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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)

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Cited In (3)

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

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