Feynman-Kac Particle Integration with Geometric Interacting Jumps

DOI10.1080/07362994.2013.817247zbMath1293.62166arXiv1211.7191OpenAlexW2014668756MaRDI QIDQ2854342

Lawrence M. Murray, Pierre E. Jacob, Gareth W. Peters, Pierre Del Moral, Anthony J. T. Lee

Publication date: 18 October 2013

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.7191

zbMATH Keywords

measure valued processesFeynman-Kac formulaeinteracting jump particle systemsnonasymptotic bias and variance estimates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Interacting particle systems in time-dependent statistical mechanics (82C22) Signal detection and filtering (aspects of stochastic processes) (60G35) Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05) Stochastic approximation (62L20) Random measures (60G57)

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