Stability of Feynman-Kac formulae with path-dependent potentials

Stochastic Processes and their Applications

Volumn 121, Issue 1, 2011, Pages 38-60

  Chopin, N ^a   Del Moral, P ^b   Rubenthaler, S ^c  

^a CREST   (France)

^b INRIA   (France)

^c UNIVERSITÉ DE NICE SOPHIA ANTIPOLIS   (France)

Author keywords

FeynmanKac formulae; Mixture Kalman filter; Nonlinear filter; Particle filter

Indexed keywords

FEYNMAN-KAC FORMULAE; FEYNMAN-KAC REPRESENTATION; MIXTURE KALMAN FILTER; NONLINEAR FILTER; PARTICLE FILTER; POTENTIAL FUNCTION; STATE TRAJECTORY;

ALGORITHMS; ASYMPTOTIC STABILITY; KALMAN FILTERS; MIXTURES; NONLINEAR FILTERING;

RECURSIVE FUNCTIONS;

EID: 78149471152     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.08.012     Document Type: Article

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