A central limit theorem for Fleming-Viot particle systems

被引:5
作者
Cerou, Frederic [1 ,2 ]
Delyon, Bernard [2 ]
Guyader, Arnaud [3 ,4 ]
Rousset, Mathias [1 ,2 ]
机构
[1] INRIA, F-35000 Rennes, France
[2] Univ Rennes, CNRS, UMR 6625, IRMAR, F-35000 Rennes, France
[3] Sorbonne Univ, LPSM, Paris, France
[4] CERMICS, Poigny, France
来源
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2020年 / 56卷 / 01期
基金
欧洲研究理事会;
关键词
Sequential Monte Carlo; Interacting particle systems; Process with killing;
D O I
10.1214/19-AIHP976
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Fleming-Viot type particle systems represent a classical way to approximate the distribution of a Markov process with killing, given that it is still alive at a final deterministic time. In this context, each particle evolves independently according to the law of the underlying Markov process until its killing, and then branches instantaneously from the state of another randomly chosen particle. While the consistency of this algorithm in the large population limit has been recently studied in several articles, our purpose here is to prove Central Limit Theorems under very general assumptions. For this, the key suppositions are that the particle system does not explode in finite time, and that the jump and killing times have atomless distributions. In particular, this includes the case of elliptic diffusions with hard killing.
引用
收藏
页码:637 / 666
页数:30
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