Feynman-Kac particle integration with geometric interacting jumps

This article is concerned with the design and analysis of discrete time Feynman-Kac particle integration models with geometric interacting jump processes. We analyze two general types of model, corresponding to whether the reference process is in continuous or discrete time. For the former, we consider discrete generation particle models defined by arbitrarily fine time mesh approximations of the Feynman-Kac models with continuous time path integrals. For the latter, we assume that the discrete process is observed at integer times and we design new approximation models with geometric interacting jumps in terms of a sequence of intermediate time steps between the integers. In both situations, we provide non asymptotic bias and variance theorems w.r.t. the time step and the size of the system, yielding what appear to be the first results of this type for this class of Feynman-Kac particle integration models. We also discuss uniform convergence estimates w.r.t. the time horizon. Our approach is based on an original semigroup analysis with first order decompositions of the fluctuation errors.

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Source https://inria.hal.science/hal-00932222
Author del Moral, Pierre, Jacob, Pierre E., Lee, Anthony, Murray, Lawrence, Peters, Gareth W.
Maintainer CCSD
Last Updated May 7, 2026, 09:18 (UTC)
Created May 7, 2026, 09:18 (UTC)
Identifier hal-00932222
Language en
contributor Advanced Learning Evolutionary Algorithms (ALEA) ; Centre Inria de l'Université de Bordeaux ; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Université de Bordeaux (UB)-Centre National de la Recherche Scientifique (CNRS)
creator del Moral, Pierre
date 2012-11-30T00:00:00
harvest_object_id aeb40917-bd32-4878-93fd-129fceb7d80f
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2026-02-07T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1211.7191
set_spec type:UNDEFINED