Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods

DOI10.1007/s00440-012-0410-yzbMath1282.65013arXiv1010.1696OpenAlexW2096753434MaRDI QIDQ1950384

Andreas Eberle, Carlo Marinelli

Publication date: 13 May 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1696

zbMATH Keywords

Fokker-Planck equationMarkov chain Monte Carlo methodMarkov processspectral gapfunctional inequalitiesFeynman-Kac formulaparticle systemsequential Monte Carlo method

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Interacting particle systems in time-dependent statistical mechanics (82C22) Numerical analysis or methods applied to Markov chains (65C40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Convergence of probability measures (60B10) Schrödinger and Feynman-Kac semigroups (47D08)

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