A nonasymptotic theorem for unnormalized Feynman-Kac particle models

Abstract

We present a nonasymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis-based on Feynman-Kac semigroup techniques combined with recently developed coalescent tree-based functional representations of particle block distributions.We present some regularity conditions under which the L2-relative error of these weighted particle measures grows linearly with respect to the time horizon yielding what seems to be the first results of this type for this class of unnormalized models. We also illustrate these results in the context of particle absorption models, with a special interest in rare event analysis. © Association des Publications de l'Institut Henri Poincaré, 2011.