Linear variance bounds for particle approximations of time-homogeneous Feynman–Kac formulae
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance for particle approximations of time-homogeneous Feynman–Kac formulae. These formulae appear in a wide variety of applications including option pricing in finance and risk sensitive control in engineering. In direct Monte Carlo approximation of these formulae, the non-asymptotic variance typically increases at an exponential rate in the time parameter. It is shown that a linear bound holds when a non-negative kernel, defined by the logarithmic potential function and Markov kernel which specify the Feynman–Kac model, satisfies a type of multiplicative drift condition and other regularity assumptions. Examples illustrate that these conditions are general and flexible enough to accommodate two rather extreme cases, which can occur in the context of a non-compact state space: (1) when the potential function is bounded above, not bounded below and the Markov kernel is not ergodic; and (2) when the potential function is not bounded above, but the Markov kernel itself satisfies a multiplicative drift condition.
Volume (Year): 122 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Chopin, N. & Del Moral, P. & Rubenthaler, S., 2011. "Stability of Feynman-Kac formulae with path-dependent potentials," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 38-60, January.
- Nicolas CHOPIN & Pierre DEL MORAL & Sylvain RUBENTHALER, 2010. "Stability of Feynman-Kac Formulae with Path-dependent Potentials," Working Papers 2010-03, Centre de Recherche en Economie et Statistique.
- van Handel, Ramon, 2009. "Uniform time average consistency of Monte Carlo particle filters," Stochastic Processes and their Applications, Elsevier, vol. 119(11), pages 3835-3861, November. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:4:p:1840-1865. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.