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.