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
Similarity:
Pierre Del Moral, Laurent Miclo (2000)
Séminaire de probabilités de Strasbourg
Similarity:
Lyne, Owen D., Williams, David (2001)
Electronic Journal of Probability [electronic only]
Similarity:
Kaj, I., Sagitov, S. (1997)
Electronic Communications in Probability [electronic only]
Similarity:
Dawson, Donald A., Li, Zenghu, Wang, Hao (2001)
Electronic Journal of Probability [electronic only]
Similarity:
Pierre Del Moral, Nicolas G. Hadjiconstantinou (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
Similarity:
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...
Sylvie Meleard (1998)
ESAIM: Probability and Statistics
Similarity:
François Bolley, Arnaud Guillin, Florent Malrieu (2010)
ESAIM: Mathematical Modelling and Numerical Analysis
Similarity:
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 ...