A backward particle interpretation of Feynman-Kac formulae-Reference-Cited by-同舟云学术

A backward particle interpretation of Feynman-Kac formulae

Published:2010-08-26 Issue:5 Volume:44 Page:947-975
ISSN:0764-583X
Container-title:ESAIM: Mathematical Modelling and Numerical Analysis
language:
Short-container-title:ESAIM: M2AN

Author:

Del Moral Pierre,Doucet Arnaud,Singh Sumeetpal S.

Publisher

EDP Sciences

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,Analysis,Computational Mathematics

Link

http://www.esaim-m2an.org/10.1051/m2an/2010048/pdf

Reference31 articles.

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2. P. Billingsley,Probability and Measure. Third edition, Wiley series in probability and mathematical statistics (1995).

3. F. Cerou, P. Del Moral and A. Guyader, A non asymptotic variance theorem for unnormalized Feynman-Kac particle models.Ann. Inst. Henri Poincaré(to appear).

4. P.-A. Coquelin, R. Deguest and R. Munos,Numerical methods for sensitivity analysis of Feynman-Kac models. Available at http://hal.inria.fr/inria-00336203/en/, HAL-INRIA Research Report 6710 (2008).

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