Fluctuation analysis of adaptive multilevel splitting

DOI10.1214/16-AAP1177zbMath1362.65018arXiv1408.6366OpenAlexW2963154803MaRDI QIDQ511471

Arnaud Guyader, Frédéric Cérou

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.6366

zbMATH Keywords

consistencyrare eventscentral limit theoremsequential Monte Carlointeracting particle systemsadaptive multilevel splittingadaptive branching modelsFeynman-Kac semigroups

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Applications of branching processes (60J85) Schrödinger and Feynman-Kac semigroups (47D08) Stochastic particle methods (65C35)

Related Items (5)

On the convergence of adaptive sequential Monte Carlo methods ⋮ Recursive estimation of a failure probability for a Lipschitz function ⋮ Adaptive multilevel splitting: Historical perspective and recent results ⋮ Variance estimation in adaptive sequential Monte Carlo ⋮ On synchronized Fleming–Viot particle systems

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