کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550518 | 1489928 | 2018 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A sharp first order analysis of Feynman-Kac particle models, Part I: Propagation of chaos
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A sharp first order analysis of Feynman-Kac particle models, Part I: Propagation of chaos A sharp first order analysis of Feynman-Kac particle models, Part I: Propagation of chaos](/preview/png/7550518.png)
چکیده انگلیسی
This article provides a new theory for the analysis of forward and backward particle approximations of Feynman-Kac models. Such formulae are found in a wide variety of applications and their numerical (particle) approximation is required due to their intractability. Under mild assumptions, we provide sharp and non-asymptotic first order expansions of these particle methods, potentially on path space and for possibly unbounded functions. These expansions allow one to consider upper and lower bound bias type estimates for a given time horizon n and particle number N; these non-asymptotic estimates are O(nâN). Our approach is extended to tensor products of particle density profiles, leading to new sharp and non-asymptotic propagation of chaos estimates. The resulting upper and lower bound propagations of chaos estimates seem to be the first result of this kind for mean field particle models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 332-353
Journal: Stochastic Processes and their Applications - Volume 128, Issue 1, January 2018, Pages 332-353
نویسندگان
Pierre Del Moral, Ajay Jasra,