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Journal Articles ESAIM: Mathematical Modelling and Numerical Analysis Year : 2010

A Backward Particle Interpretation of Feynman-Kac Formulae

Abstract

We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals on-the-fly as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We provide uniform convergence results w.r.t. the time horizon parameter as well as functional central limit theorems and exponential concentration estimates, yielding what seems to be the first results of this type for this class of models. We also illustrate these results in the context of computational physics and imaginary time Schroedinger type partial differential equations, with a special interest in the numerical approximation of the invariant measure associated to h-processes.
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Dates and versions

inria-00410165 , version 1 (18-08-2009)
inria-00410165 , version 2 (01-10-2009)

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Pierre del Moral, Arnaud Doucet, Sumeetpal Singh. A Backward Particle Interpretation of Feynman-Kac Formulae. ESAIM: Mathematical Modelling and Numerical Analysis, 2010, 44 (5), pp.947-975. ⟨10.1051/m2an/2010048⟩. ⟨inria-00410165v2⟩
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