Branching and interacting particle systems. Approximations of Feynman-Kac formulae with applications to non-linear filtering
Pierre Del Moral, Laurent Miclo (2000)
Séminaire de probabilités de Strasbourg
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Displaying similar documents to “Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups”
Branching and interacting particle systems. Approximations of Feynman-Kac formulae with applications to non-linear filtering
Weak solutions for a simple hyperbolic system.
Lyne, Owen D., Williams, David (2001)
Electronic Journal of Probability [electronic only]
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Superprocess approximating for a spatially homogeneous branching walk.
Kaj, I., Sagitov, S. (1997)
Electronic Communications in Probability [electronic only]
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Superprocesses with dependent spatial motion and general branching densities.
Dawson, Donald A., Li, Zenghu, Wang, Hao (2001)
Electronic Journal of Probability [electronic only]
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An introduction to probabilistic methods with applications
Pierre Del Moral, Nicolas G. Hadjiconstantinou (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
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This special volume of the ESAIM Journal, , contains a collection of articles on probabilistic interpretations of some classes of nonlinear integro-differential equations. The selected contributions deal with a wide range of topics in applied probability theory and stochastic analysis, with applications in a variety of scientific disciplines, including physics, biology, fluid mechanics, molecular chemistry, financial mathematics and bayesian statistics. In this preface, we provide...
Stochastic approximations of the solution of a full Boltzmann equation with small initial data
Sylvie Meleard (1998)
ESAIM: Probability and Statistics
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Trend to equilibrium and particle approximation for a weakly selfconsistent Vlasov-Fokker-Planck equation
François Bolley, Arnaud Guillin, Florent Malrieu (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
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We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium in Wasserstein distance with an explicit exponential rate. We also prove a propagation of chaos property for an associated particle system, and give rates on the approximation of the solution by the particle system. Finally, a transportation ...
Existence, uniqueness and convergence of a particle approximation for the Adaptive Biasing Force process
Benjamin Jourdain, Tony Lelièvre, Raphaël Roux (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
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We study a free energy computation procedure, introduced in [Darve and Pohorille, (2001) 9169–9183; Hénin and Chipot, (2004) 2904–2914], which relies on the long-time behavior of a nonlinear stochastic differential equation. This nonlinearity comes from a conditional expectation computed with respect to one coordinate of the solution. The long-time convergence of the solutions to this equation has been proved in [Lelièvre , (2008)...