Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae

Stochastic Processes and their Applications

Volumn 122, Issue 4, 2012, Pages 1840-1865

  Whiteley, Nick ^a,b,c   Kantas, Nikolas ^a,b,c   Jasra, Ajay ^a,b,c  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Feynman Kac formulae; Multiplicative drift condition; Non asymptotic variance

Indexed keywords

ERGODICS; EXPONENTIAL RATES; FEYNMAN-KAC FORMULAE; LINEAR BOUNDS; LOGARITHMIC POTENTIALS; MARKOV KERNELS; MONTE CARLO; MULTIPLICATIVE DRIFT CONDITION; NON-ASYMPTOTIC; OPTION PRICING; POTENTIAL FUNCTION; REGULARITY ASSUMPTION; RISK SENSITIVE CONTROL; STATE SPACE; SUFFICIENT CONDITIONS; TIME PARAMETER;

COMPUTER SIMULATION; STATISTICS; STOCHASTIC SYSTEMS;

ASYMPTOTIC ANALYSIS;

EID: 84858712218     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2012.02.002     Document Type: Article

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