Stability of Feynman-Kac formulae with path-dependent potentials - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2009

Stability of Feynman-Kac formulae with path-dependent potentials

Résumé

Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important example is the mixture Kalman filter, but other models and algorithms of practical interest fall in this category. We study the asymptotic stability of such particle algorithms as time goes to infinity. As a corollary, practical conditions for the stability of the mixture Kalman filter, and a mixture GARCH filter, are derived. Finally, we show that our results can also lead to weaker conditions for the stability of standard particle algorithms, such that the potential function depends on the last state only.
Fichier principal
Vignette du fichier
mk.pdf (245.31 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00426415 , version 1 (26-10-2009)

Identifiants

Citer

Nicolas Chopin, Pierre del Moral, Sylvain Rubenthaler. Stability of Feynman-Kac formulae with path-dependent potentials. 2009. ⟨hal-00426415⟩
497 Consultations
176 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More