Tree based functional expansions for Feynman--Kac particle models

DOI10.1214/08-AAP565MaRDI QIDQ1024905zbMATH OpenOpenAlexFDO

Authors Pierre Del Moral, Frédéric Patras, Sylvain Rubenthaler

Publication date 17 June 2009

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.4249

zbMATH Keywords

automorphism groupscombinatorial enumerationFeynman-Kac semigroupsinteracting particle systemstrees and forests

Mathematics Subject Classification ID

Integral representations, integral operators, integral equations methods in higher dimensions (31B10) Schrödinger and Feynman-Kac semigroups (47D08) Combinatorial probability (60C05) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Population dynamics (general) (92D25)

Abstract: We design exact polynomial expansions of a class of Feynman--Kac particle distributions. These expansions are finite and are parametrized by coalescent trees and other related combinatorial quantities. The accuracy of the expansions at any order is related naturally to the number of coalescences of the trees. Our results include an extension of the Wick product formula to interacting particle systems. They also provide refined nonasymptotic propagation of chaos-type properties, as well as sharp $mathbb{L}_p$-mean error bounds, and laws of large numbers for $U$-statistics.

Review text

This paper goes deeper into the theory and applications developed in the magnificent book by the first author [Feynman-Kac formulae: Genealogical and interacting particle systems with applications. Probability and its applications. New York, NY: Springer. (2004; Zbl 1130.60003)]. It aims to provide exact, nonasymptotic, tree-based functional representations of particle block distributions. These distributions as well as the corresponding normalized empirical occupation measures can be expanded polynomially with respect to \(N^{-1}\), where \(N\) stands for the total population size. The proofs rely on an original combinatorial analysis on a special class of trees and forests that parametrize the trajectories of interacting particle systems. The results include an extension of the Wick product formula to these systems. They also provide refined nonasymptotic propagation of chaos-type properties, as well as sharp \(L^p\)-mean error bounds, and laws of large numbers for \(U\)-statistics.

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Cited in

(13)

• A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
• A second order analysis of McKean-Vlasov semigroups
• A duality formula for Feynman-Kac path particle models
• On the stability of sequential Monte Carlo methods in high dimensions
• Central limit theorem through expansion of the propagation of chaos for Bird and Nanbu systems
• The convergence to equilibrium of neutral genetic models
• Stability properties of some particle filters
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• \(U\)-statistics of Ornstein-Uhlenbeck branching particle system
• Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
• A central limit theorem for conservative fragmentation chains
• Convergence of \(U\)-statistics for interacting particle systems
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models

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