Stability of Feynman-Kac formulae with path-dependent potentials

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:121

Article

Chopin, N.¹  Del Moral, P.²  Rubenthaler, S.³ 

[1] ENSAE CREST, F-92240 Malakoff, France

[2] INRIA Bordeaux Sud Ouest, F-33405 Talence, France

[3] Univ Nice Sophia Antipolis, Lab JA Dieudonne, F-06108 Nice 2, France

关键词: Feynman-Kac formulae;    Mixture;    Kalman filter;    Particle filter;    Nonlinear filter;   

DOI  :  10.1016/j.spa.2010.08.012

来源: Elsevier

【 摘 要 】

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 for which the potential function depends on the last state only (c) 2010 Elsevier B V All rights reserved

【 授权许可】

Free