A note on random walks with absorbing barriers and sequential Monte Carlo methods
DOI10.1080/07362994.2017.1412264zbMath1390.82057arXiv1611.03177OpenAlexW2564959755MaRDI QIDQ4639177
Publication date: 3 May 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.03177
importance samplingsequential Monte Carloquasi-invariant measuresFeynman-Kac semigroupsparticle samplersrandom walks with absorbing barriers
Bayesian inference (62F15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Limit theorems in probability theory (60F99)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stability properties of some particle filters
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- Geometric bounds for eigenvalues of Markov chains
- The combinatorics of random walk with absorbing barriers
- A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
- Dynamic importance sampling for uniformly recurrent Markov chains
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Twisted particle filters
- Monte Carlo algorithms for computing \(\alpha \)-permanents
- Mean Field Simulation for Monte Carlo Integration
- Particle Motions in Absorbing Medium with Hard and Soft Obstacles
- Sequential Monte Carlo Methods for Option Pricing
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Existence of non-trivial quasi-stationary distributions in the birth-death chain
- Sequential Monte Carlo methods for diffusion processes
- Sequential Monte Carlo Methods for Statistical Analysis of Tables
This page was built for publication: A note on random walks with absorbing barriers and sequential Monte Carlo methods
