Feynman-Kac Formulae

Genealogical and Interacting Particle Systems with Applications

Pierre Del Moral - Collection Probability and Its Applications

555 pages, parution le 01/06/2004

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Résumé

This book contains a systematic and self-contained treatment of Feynman-Kac path measures, their genealogical and interacting particle interpretations, and their applications to a variety of problems arising in statistical physics, biology, and advanced engineering sciences. Topics include spectral analysis of Feynman-Kac-Schrödinger operators, Dirichlet problems with boundary conditions, finance, molecular analysis, rare events and directed polymers simulation, genetic algorithms, Metropolis-Hastings type models, as well as filtering problems and hidden Markov chains.

This text takes readers in a clear and progressive format from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of non-linear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagations of chaos, central limit, and Berry Esseen type theorems as well as large deviations principles for strong topologies on path-distribution spaces. Topics also include a body of powerful branching and interacting particle methods and worked out illustrations of the key aspect of the theory.

With practical and easy to use references as well as deeper and modern mathematics studies, the book will be of use to engineers and researchers in pure and applied mathematics, statistics, physics, biology, and operation research who have a background in probability and Markov chain theory.

L'auteur - Pierre Del Moral

Pierre Del Moral, docteur de l'Université Paul Sabotier de Toulouse, ancien chercheur en mathématiques au CNRS, est actuellement professeur au Laboratoire J. A. Dieudonné de l'Université de Nice-Sophia Antipolis. Son activité de recherche se situe à l'interface des probabilités pures et appliquées, de la physique, de la biologie, et des sciences de l'ingénieur. Il est auteur d'un ouvrage sur la simulation et les algorithmes stochastiques, et d'une monographie de recherche sur les Formules de Feynman-Kac et leurs interprétations en termes de systèmes de particules en interaction et d'arbres généalogiques.

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Sommaire

Introduction
Feynman-Kac Formulae
Genealogical and Interacting Particle Models
Stability of Feynman-Kac Semi-groups
Invariant Measures and Related Topics
Annealing Properties
Asymptotic Behavior
Propagations of Chaos
Central Limit Theorems
Large Deviations Principles
Feynman-Kac and Interacting Particle Recipes
Applications

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	PAPIER
Éditeur(s)	Springer
Auteur(s)	Pierre Del Moral
Collection	Probability and Its Applications
Parution	01/06/2004
Nb. de pages	555
Format	16 x 24
Couverture	Relié
Poids	950g
Intérieur	Noir et Blanc
EAN13	9780387202686
ISBN13	978-0-387-20268-6