Perfect simulation for the Feynman-Kac law on the path space
Christophe Andrieu, Nicolas Chopin (CREST, ENSAE), Arnaud Doucet,, Sylvain Rubenthaler (JAD)
TL;DR
This paper introduces a preliminary algorithm for perfect simulation of the Feynman-Kac law on path space, aiming to improve understanding and efficiency in sampling complex stochastic processes.
Contribution
It presents an initial algorithm for perfect simulation of the Feynman-Kac law on path space, with plans for further refinement and complexity analysis.
Findings
Preliminary algorithm for perfect simulation introduced
Potential for improved sampling of stochastic processes
Future work includes complexity bounds and detailed description
Abstract
This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.
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Taxonomy
TopicsMarkov Chains and Monte Carlo Methods · Stochastic processes and statistical mechanics · Particle physics theoretical and experimental studies