Perfect simulation for the Feynman-Kac law on the path space. - Université Côte d'Azur
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.
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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)

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