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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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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
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
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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