Strong Propagations of Chaos in Moran’s type Particle interpretations of Feynman-Kac measures

نویسندگان

  • P. Del Moral
  • L. Miclo
چکیده

This article is concerned with strong propagations of chaos properties in Moran’s type particle interpretations of continuous time Feynman-Kac formulae. These particle schemes can also be seen as approximating models of simple generalized spatially homogeneous Boltzmann equations. We provide a simple, and original semigroup analysis based on empirical tensor measures combinatorics properties, martingales techniques, and coupling arguments. We also design a general and abstract framework, without any topological assumption on the state space. This yields a natural way to analyze the propagations of chaos properties for interacting particle models on path space. Applications to genealogical type particle algorithms for the nonlinear filtering and smoothing problem are also discussed.

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تاریخ انتشار 2006