A Central Limit Theorem for Fleming-Viot Particle Systems with Hard Killing

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Delyon , Bernard; Cérou , Frédéric; Guyader , Arnaud; Rousset , Mathias;
(2017)
  • Publisher: HAL CCSD
  • Subject: sequential MonteCarlo | Interacting particle systems | process with killing | 82C22, 82C80, 65C05, 60J25, 60K35, 60K37 | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]

38 pages; Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic time. In this context, each particle evolves independently according to the law... View more
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