Related papers: L^p estimates for Feynman-Kac propagators with tim…
Sequential and quantum Monte Carlo methods, as well as genetic type search algorithms can be interpreted as a mean field and interacting particle approximations of Feynman-Kac models in distribution spaces. The performance of these…
We study mean-field particle approximations of normalized Feynman-Kac semi-groups, usually called Fleming-Viot or Feynman-Kac particle systems. Assuming various large time stability properties of the semi-group uniformly in the initial…
This paper establishes a Feynman-Kac formula to represent the solution to general time inhomogeneous stochastic parabolic partial differential equations driven by multiplicative fractional Gaussian noises in bounded domain where L_t is a…
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and are associated with a Markov chain and a potential function.…
We will derive a rigorous real time propagator for the Non-relativistic Quantum Mechanic $L^2$ transition probability amplitude and for the Non-relativistic wave function. The propagator will be explicitly given in terms of the time…
We investigate the algebraic structure of the Feynman propagator with a general time-dependent quadratic Hamiltonian system. Using the Lie-algebraic technique we obtain a normal-ordered form of the time-evolution operator, and then the…
In this paper we introduce non-decreasing jump processes with independent and time non-homogeneous increments. Although they are not L\'evy processes, they somehow generalize subordinators in the sense that their Laplace exponents are…
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to…
Let $X$ be a symmetric strong Markov process on a Luzin space. In this paper, we present criteria of the $L^p$-independence of spectral bounds for generalized non-local Feynman-Kac semigroups of $X$ that involve continuous additive…
We provide two applications of an elementary (yet seemingly unknown) probabilistic representation of matrix ordered exponentials, which generalizes the Feynman-Kac formula in finite dimensions and the change of measure formula between two…
This note presents a method based on Feynman-Kac semigroups for logarithmic Sobolev inequalities. It follows the recent work of Bonnefont and Joulin on intertwining relations for diffusion operators, formerly used for spectral gap…
Feynman-Kac semigroups appear in various areas of mathematics: non-linear filtering, large deviations theory, spectral analysis of Schrodinger operators among others. Their long time behavior provides important information, for example in…
We study time-inhomogeneous Markov chains to obtain quantitative results on their asymptotic behavior. We use Poincar\'e, Nash, and logarithmic-Sobolev inequalities. We assume that our Markov chain admits a finite invariant measure at each…
We present a new class of interacting Markov chain Monte Carlo algorithms for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of self-interacting Markov chains. In contrast…
We consider a class of Schrodinger equations with time-dependent smooth magnetic and electric potentials having a growth at infinity at most linear and quadratic, respectively. We study the convergence in $L^p$ with loss of derivatives,…
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance of particle approximations of time-homogeneous Feynman-Kac formulae. These formulae appear in a wide variety of applications including…
In this paper we consider the wave equations for hypoelliptic homogeneous left-invariant operators on graded Lie groups with time-dependent H\"older propagation speeds. The examples are the time-dependent wave equation for the sub-Laplacian…
A method is proposed to reconstruct a cyclic time-inhomogeneous Markov pro- cess from measured data. First, a time-inhomogeneous Markov model is fit to the data, taken here from measurements on a wind turbine. From the time-dependent…
We obtain weak rates for approximation of an integral functional of a Markov process by integral sums. An assumption on the process is formulated only in terms of its transition probability density, and, therefore, our approach is not…
We consider generalized time-fractional evolution equations of the form $$u(t)=u_0+\int_0^tk(t,s)Lu(s)ds$$ with a fairly general memory kernel $k$ and an operator $L$ being the generator of a strongly continuous semigroup. In particular,…