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

2012/10/01 by Christophe Andrieu, Andrieu, Christophe, Nicolas Chopin +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST) #math.PR #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1210.0376

arxiv created 2013/03/01 · arxiv updated 2013/03/05

Abstract

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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