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Volumn 47, Issue 3, 2011, Pages 629-649

A nonasymptotic theorem for unnormalized Feynman-Kac particle models

Author keywords

Boltzmann Gibbs measures; Feynman Kac semigroups; Genetic algorithms; Interacting particle systems; Monte Carlo models; Nonasymptotic estimates; Rare events

Indexed keywords


EID: 79960182481     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AIHP358     Document Type: Article
Times cited : (87)

References (11)
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    • Asymptotic robustness of estimators in rare-event simulation
    • Fontainebleau, France
    • J. H. Blanchet, P. W. Glynn, P. L'Ecuyer, W. Sandmann and B. Tuffin. Asymptotic robustness of estimators in rare-event simulation. In Proc. of the 2007 INFORMS Workshop. Fontainebleau, France, 2007. Available at http://www.irisa.fr/dionysos/pages-perso/tuffin/Publis/ robust-informs06.pdf.
    • (2007) Proc. of the 2007 INFORMS Workshop
    • Blanchet, J.H.1    Glynn, P.W.2    L'Ecuyer, P.3    Sandmann, W.4    Tuffin, B.5
  • 3
    • 33947118152 scopus 로고    scopus 로고
    • Adaptive multilevel splitting for rare event analysis
    • MR2303095
    • F. Cerou and A. Guyader. Adaptive multilevel splitting for rare event analysis. Stoch. Anal. Appl. 25 (2007) 417-433. MR2303095
    • (2007) Stoch. Anal. Appl. , vol.25 , pp. 417-433
    • Cerou, F.1    Guyader, A.2
  • 4
    • 58549089491 scopus 로고    scopus 로고
    • Splitting for rare event simulation: A large deviations approach to design and analysis
    • T. Dean and P. Dupuis. Splitting for rare event simulation: A large deviations approach to design and analysis. Stochastic Process. Appl. 119 (2009) 562-587.
    • (2009) Stochastic Process. Appl. , vol.119 , pp. 562-587
    • Dean, T.1    Dupuis, P.2
  • 7
    • 35349012990 scopus 로고    scopus 로고
    • Sharp propagations of chaos estimates for Feynman-Kac particle models
    • MR2325545
    • P. Del Moral, A. Doucet and G. W. Peters. Sharp propagations of chaos estimates for Feynman-Kac particle models. Theory Probab. Appl. 51 (2007) 459-485. MR2325545
    • (2007) Theory Probab. Appl. , vol.51 , pp. 459-485
    • Del Moral, P.1    Doucet, A.2    Peters W, G.3
  • 8
    • 66149141882 scopus 로고    scopus 로고
    • Coalescent tree based functional representations for some Feynman-Kac particle models
    • MR2521888
    • P. Del Moral, F. Patras and S. Rubenthaler. Coalescent tree based functional representations for some Feynman-Kac particle models. Ann. Appl. Probab. 19 (2009) 778-825. MR2521888
    • (2009) Ann. Appl. Probab. , vol.19 , pp. 778-825
    • Del Moral, P.1    Patras, F.2    Rubenthaler, S.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.