A Backward Particle Interpretation of Feynman-Kac Formulae

Details A Backward Particle Interpretation of Feynman-Kac Formulae A Backward Particle Interpretation of Feynman-Kac Formulae

2009-08-18

arxiv.org/abs/0908.2556v1

Mathematics

Statistics Theory

Scientific paper

We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals "on-the-fly" as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We provide uniform convergence results w.r.t. the time horizon parameter as well as functional central limit theorems and exponential concentration estimates. We also illustrate these results in the context of computational physics and imaginary time Schroedinger type partial differential equations, with a special interest in the numerical approximation of the invariant measure associated to $h$-processes.

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