Journal article
A BACKWARD PARTICLE INTERPRETATION OF FEYNMAN-KAC FORMULAE
- Abstract:
-
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals "on-the-fly" as well as their limiting occupation measures with a given precision degree that does not depend on the final time...
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- Publication status:
- Published
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- Publisher copy:
- 10.1051/m2an/2010048
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Authors
Bibliographic Details
- Journal:
- ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
- Volume:
- 44
- Issue:
- 5
- Pages:
- 947-975
- Publication date:
- 2010-01-01
- DOI:
- EISSN:
-
1290-3841
- ISSN:
-
0764-583X
- Source identifiers:
-
172669
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:172669
- UUID:
-
uuid:f905e4f6-bdaa-43b8-a605-ef49af23992e
- Local pid:
- pubs:172669
- Deposit date:
- 2012-12-19
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- Copyright date:
- 2010
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