Perfect simulation for the Feynman-Kac law on the path space

Arnaud Doucet; Christophe Andrieu; ENSAE); Nicolas Chopin (CREST; Sylvain Rubenthaler (JAD)

arxiv: 1210.0376 · v2 · pith:DICG6ZNWnew · submitted 2012-10-01 · 🧮 math.PR · math.ST· stat.TH

Perfect simulation for the Feynman-Kac law on the path space

Christophe Andrieu , Nicolas Chopin (CREST , ENSAE) , Arnaud Doucet , Sylvain Rubenthaler (JAD) This is my paper

classification 🧮 math.PR math.STstat.TH

keywords algorithmbetterboundscomplexitydescribesdescripitionfeynman-kacgetting

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This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.

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Perfect simulation for the Feynman-Kac law on the path space

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