Stability of Feynman-Kac formulae with path-dependent potentials
CHOPIN, Nicolas
Centre de Recherche en Économie et Statistique [CREST]
École Nationale de la Statistique et de l'Administration Économique [ENSAE Paris]
Centre de Recherche en Économie et Statistique [CREST]
École Nationale de la Statistique et de l'Administration Économique [ENSAE Paris]
CHOPIN, Nicolas
Centre de Recherche en Économie et Statistique [CREST]
École Nationale de la Statistique et de l'Administration Économique [ENSAE Paris]
< Reduce
Centre de Recherche en Économie et Statistique [CREST]
École Nationale de la Statistique et de l'Administration Économique [ENSAE Paris]
Language
en
Document de travail - Pré-publication
English Abstract
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important example is the mixture ...Read more >
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important example is the mixture Kalman filter, but other models and algorithms of practical interest fall in this category. We study the asymptotic stability of such particle algorithms as time goes to infinity. As a corollary, practical conditions for the stability of the mixture Kalman filter, and a mixture GARCH filter, are derived. Finally, we show that our results can also lead to weaker conditions for the stability of standard particle algorithms, such that the potential function depends on the last state only.Read less <
English Keywords
Feynman-Kac formulae
mixture Kalman filter
path-dependent potential function
Particle filter
ANR Project
Méthodes de Monte Carlo en grande dimension - ANR-08-BLAN-0218
Origin
Hal imported