A sharp first order analysis of Feynman–Kac particle models, Part I: Propagation of chaos
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DOI: 10.1016/j.spa.2017.04.007
Abstract: This article provides a new theory for the analysis of forward and backward particle approximations of Feynman–Kac models. Such formulae are found in a wide variety of applications and their numerical (particle) approximation is required… read more here.
Keywords: first order; analysis; propagation chaos; particle models ... See more keywords