BERCU, Bernard; DEL MORAL, Pierre; DOUCET, Arnaud

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BERCU, Bernard
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]

DEL MORAL, Pierre
Institut de Mathématiques de Bordeaux [IMB]
Advanced Learning Evolutionary Algorithms [ALEA]

DOUCET, Arnaud
Dept of Statistics & Dept of Computer Science
Department of Statistics [Vancouver] [UBC Statistics]

Idioma

Article de revue

Este ítem está publicado en

Electronic Journal of Probability. 2009, vol. 14, n° 73, p. 2130-2155

Institute of Mathematical Statistics (IMS)

Resumen en inglés

We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original stochastic analysis based on semigroup techniques on distribution spaces and fluctuation theorems for self-interaction random fields. Besides the fluctuation analysis of these models, we also present a series of sharp $\LL_m$-mean error bounds in terms of the semigroup associated with the first order expansion of the limiting measure valued process, yielding what seems to be the first results of this type for this class of interacting processes. We illustrate these results in the context of Feynman-Kac integration semigroups arising in physics, biology and stochastic engineering science.< Leer menos

Palabras clave en inglés

and Feynman-Kac integrals

Multivariate and functional central limit theorems

random fields

martingale limit theorems

self-interacting Markov chains

Markov chain Monte Carlo models

and Feynman-Kac integrals.

Orígen

Importado de Hal

Centros de investigación

Institut de Mathématiques de Bordeaux (IMB) - UMR 5251