DEL MORAL, Pierre; MICLO, Laurent

Metadatos

Mostrar el registro completo del ítem

Licencia de uso del documento

DEL MORAL, Pierre
Laboratoire Jean Alexandre Dieudonné [JAD]

MICLO, Laurent
Laboratoire d'Analyse, Topologie, Probabilités [LATP]

Idioma

Article de revue

Este ítem está publicado en

Stoch. Anal. Appl. 2007, vol. 25, n° 3, p. 519-575

Resumen en inglés

Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating procedures for certain simple generalized spatially homogeneous Boltzmann equations, so strong propagation of chaos is known to hold for them. We will give a new proof of this result by studying the evolution of tensorized empirical measures and then applying two straightforward coupling arguments. The only difficulty is in the first step to find nice martingales, and this will be done via the introduction of another family of Moran semigroups. This work also procures us the opportunity to present an appropriate abstract setting, in particular without any topological assumption on the state space, and to apply a genealogical algorithm for the smoothing problem in nonlinear filtering context.< Leer menos

Palabras clave en inglés

genealogical processes and smoothing problems in nonlinear filtering

Feynman-Kac formulae

perturbations of general Markov processes by jump bounded generators

interacting particle systems

weak and strong propagation of chaos

tensorized empirical measures

Moran semigroups and martingales

coupling

genealogical processes and smoothing problems in nonlinear filtering.

Orígen

Importado de Hal

Centros de investigación

Institut de Mathématiques de Bordeaux (IMB) - UMR 5251