Numeerisen analyysin ja laskennallisen tieteen seminaari

5.12.2005 klo 14.15 U356

Dario Gasbarra, Rolf Nevanlinna Instituutti

Introduction to Branching and Interacting particle approximation of Feynman-Kac formulae

We explain the killing and branching interpretation of the Feynman Kac-formula, and the connections with McKean-Vlasov non-linear stochastic differential equations , which have an interacting particle system interpetation. As and application we look at the stochastic filtering problem where the potential in the Feynman-Kac formula is given by the likelihood of the observed data. This talk will be based on a paper by Del Moral and Miclo (2000): "Branching and Interacting particle system approximations of Feyman-Kac Formulae with applications to non-linear filtering" in Spinger LNM 1729 p 1-145, and we shall focus on the continuous time framework.