Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations

DOI10.1239/AAP/1214950212MaRDI QIDQ3516398zbMATH OpenOpenAlexFDO

Authors Ivan Gentil, Bruno Rémillard

Publication date 5 August 2008

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1214950212

zbMATH Keywords

Feyman-Kac formulaegenetic algorithmMarkov chainsequential Monte Carlo method

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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