Perfect simulation for the Feynman-Kac law on the path space. - Université Côte d'Azur Access content directly
Preprints, Working Papers, ... Year : 2012

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

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.
Fichier principal
Vignette du fichier
simulation-parfaite-07.pdf (415.71 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-00737040 , version 1 (01-10-2012)
hal-00737040 , version 2 (01-03-2013)
hal-00737040 , version 3 (05-11-2014)
hal-00737040 , version 4 (18-10-2016)

Identifiers

Cite

Christophe Andrieu, Nicolas Chopin, Arnaud Doucet, Sylvain Rubenthaler. Perfect simulation for the Feynman-Kac law on the path space.. 2012. ⟨hal-00737040v1⟩
676 View
291 Download

Altmetric

Share

Gmail Facebook X LinkedIn More