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AuthorMoral, Pierre Del. author
TitleFeynman-Kac Formulae [electronic resource] : Genealogical and Interacting Particle Systems with Applications / by Pierre Del Moral
ImprintNew York, NY : Springer New York, 2004
Connect tohttp://dx.doi.org/10.1007/978-1-4684-9393-1
Descript XVIII, 556 p. 6 illus. online resource

SUMMARY

This book contains a systematic and self-contained treatment of Feynman-Kac path measures, their genealogical and interacting particle interpretations,and their applications to a variety of problems arising in statistical physics, biology, and advanced engineering sciences. Topics include spectral analysis of Feynman-Kac-Schrรถdinger operators, Dirichlet problems with boundary conditions, finance, molecular analysis, rare events and directed polymers simulation, genetic algorithms, Metropolis-Hastings type models, as well as filtering problems and hidden Markov chains. This text takes readers in a clear and progressive format from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of non linear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagations of chaos, central limit,and Berry Esseen type theorems as well as large deviations principles for strong topologies on path-distribution spaces. Topics also include a body of powerful branching and interacting particle methods and worked out illustrations of the key aspect of the theory. With practical and easy to use references as well as deeper and modern mathematics studies, the book will be of use to engineers and researchers in pure and applied mathematics, statistics, physics, biology, and operation research who have a background in probability and Markov chain theory. Pierre Del Moral is a research fellow in mathematics at the C.N.R.S. (Centre National de la Recherche Scientifique) at the Laboratoire de Statistique et Probabilitรฉs of Paul Sabatier University in Toulouse. He received his Ph.D. in signal processing at the LAAS-CNRS (Laboratoire d'Analyse et Architecture des Systรจmes) of Toulouse. He is one of the principal designers of the modern and recently developing theory on particle methods in filtering theory. He served as a research engineer in the company Steria-Digilog from 1992 to 1995 and he has been a visiting professor at Purdue University and Princeton University. He is a former associate editor of the journal Stochastic Analysis and Applications


CONTENT

1 Introduction -- 1.1 On the Origins of Feynman-Kac and Particle Models -- 1.2 Notation and Conventions -- 1.3 Feynman-Kac Path Models -- 1.4 Motivating Examples -- 1.5 Interacting Particle Systems -- 1.6 Sequential Monte Carlo Methodology -- 1.7 Particle Interpretations -- 1.8 A Contents Guide for the Reader -- 2 Feynman-Kac Formulae -- 2.1 Introduction -- 2.2 An Introduction to Markov Chains -- 2.4 Structural Stability Properties -- 2.5 Distribution Flows Models -- 2.6 Feynman-Kac Models in Random Media -- 2.7 Feynman-Kac Semigroups -- 3 Genealogical and Interacting Particle Models -- 3.1 Introduction -- 3.2 Interacting Particle Interpretations -- 3.3 Particle models with Degenerate Potential -- 3.4 Historical and Genealogical Tree Models -- 3.5 Particle Approximation Measures -- 4 Stability of Feynman-Kac Semigroups -- 4.1 Introduction -- 4.2 Contraction Properties of Markov Kernels -- 4.3 Contraction Properties of Feynman-Kac Semigroups -- 4.4 Updated Feynman-Kac Models -- 5 Invariant Measures and Related Topics -- 5.1 Introduction -- 5.2 Existence and Uniqueness -- 5.3 Invariant Measures and Feynman-Kac Modeling -- 5.4 Feynman-Kac and Metropolis-Hastings Models -- 5.5 Feynman-Kac-Metropolis Models -- 6 Annealing Properties -- 6.1 Introduction -- 6.2 Feynman-Kac-Metropolis Models -- 6.3 Feynman-Kac Trapping Models -- 7 Asymptotic Behavior -- 7.1 Introduction -- 7.2 Some Preliminaries -- 7.3 Inequalities for Independent Random Variables -- 7.4 Strong Law of Large Numbers -- 8 Propagation of Chaos -- 8.1 Introduction -- 8.2 Some Preliminaries -- 8.3 Outline of Results -- 8.4 Weak Propagation of Chaos -- 8.5 Relative Entropy Estimates -- 8.6 A Combinatorial Transport Equation -- 8.7 Asymptotic Properties of Boltzmann-Gibbs Distributions -- 8.8 Feynman-Kac Semigroups -- 9 Central Limit Theorems -- 9.1 Introduction -- 9.2 Some Preliminaries -- 9.3 Some Local Fluctuation Results -- 9.4 Particle Density Profiles -- 9.5 A Berry-Esseen Type Theorem -- 9.6 A Donsker Type Theorem -- 9.7 Path-Space Models -- 9.8 Covariance Functions -- 10 Large-Deviation Principles -- 10.1 Introduction -- 10.2 Some Preliminary Results -- 10.3 Crรกmerโ{128}{153}s Method -- 10.4 Laplace-Varadhanโ{128}{153}s Integral Techniques -- 10.5 Dawson-Gรคrtner Projective Limits Techniques -- 10.6 Sanovโ{128}{153}s Theorem -- 10.7 Path-Space and Interacting Particle Models -- 10.8 Particle Density Profile Models -- 11 Feynman-Kac and Interacting Particle Recipes -- 11.1 Introduction -- 11.2 Interacting Metropolis Models -- 11.3 An Overview of some General Principles -- 11.4 Descendant and Ancestral Genealogies -- 11.5 Conditional Explorations -- 11.6 State-Space Enlargements and Path-Particle Models -- 11.7 Conditional Excursion Particle Models -- 11.8 Branching Selection Variants -- 11.9 Exercises -- 12 Applications -- 12.1 Introduction -- 12.2 Random Excursion Models -- 12.3 Change of Reference Measures -- 12.4 Spectral Analysis of Feynman-Kac-Schrรถdinger Semigroups -- 12.5 Directed Polymers Simulation -- 12.6 Filtering/Smoothing and Path estimation -- References


Mathematics Mathematical models Operations research Management science Probabilities Statistical physics Dynamical systems Statistics Applied mathematics Engineering mathematics Mathematics Probability Theory and Stochastic Processes Statistical Physics Dynamical Systems and Complexity Mathematical Modeling and Industrial Mathematics Operations Research Management Science Appl.Mathematics/Computational Methods of Engineering Statistical Theory and Methods



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