Stability of Feynman-Kac formulae with path-dependent potentials

DOI10.1016/j.spa.2010.08.012zbMath1222.93221arXiv0910.4870OpenAlexW1965584676MaRDI QIDQ617910

Pierre Del Moral, Sylvain Rubenthaler, Nicolas Chopin

Publication date: 14 January 2011

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

Full work available at URL: https://arxiv.org/abs/0910.4870

zbMATH Keywords

particle filternonlinear filtermixture Kalman filterFeynman-Kac formulae

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic stability in control theory (93E15)

Related Items (3)

Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations

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• Particle Filtering for Partially Observed Gaussian State Space Models
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