Feynman-Kac formulae
Subtitle: genealogical and interacting particle systems with applications
By: Pierre Del Moral
Series: Probability and its applications; Springer series in statistics
Publisher: Springer-Verlag
Published: 2004
Place of publication: New York
Language: eng
Number of pages: 555
Subjects: Path integrals; Evolution equations; Quantum theory; Vector spaces
Description: "This book contains a systematic and self-contained treatment of Feynman-Kac path measures, then 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-Schrodinger 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 from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of nonlinear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagation 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 illustration of the key aspect of the theory." "With 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."--BOOK JACKET.
Notes: Includes bibliographical references (p. [523]-548) and index