Perfect simulation for the Feynman-Kac law on the path space

Christophe Andrieu, Nicolas Chopin, Arnaud Doucet, Sylvain Rubenthaler

Research output: Contribution to journalArticle (Academic Journal)

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.
Original languageUndefined/Unknown
JournalarXiv
Publication statusPublished - 1 Oct 2012

Keywords

  • math.PR
  • math.ST
  • stat.TH

Cite this

Andrieu, C., Chopin, N., Doucet, A., & Rubenthaler, S. (2012). Perfect simulation for the Feynman-Kac law on the path space. arXiv.