A note on random walks with absorbing barriers and sequential Monte Carlo methods

Pierre Del Moral, Ajay Jasra

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

In this article, we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of one-dimensional random walks with absorbing barriers. In particular, we develop a very precise variance analysis for several IS and SMC procedures. We take advantage of some explicit spectral formulae available for these models to derive sharp and explicit estimates; this provides stability properties of the associated normalized Feynman–Kac semigroups. Our analysis allows one to compare the variance of SMC and IS techniques for these models. The work in this article is one of the few to consider an in-depth analysis of an SMC method for a particular model-type as well as variance comparison of SMC algorithms.
Original languageEnglish (US)
JournalStochastic Analysis and Applications
Volume36
Issue number3
DOIs
StatePublished - May 4 2018
Externally publishedYes

Fingerprint Dive into the research topics of 'A note on random walks with absorbing barriers and sequential Monte Carlo methods'. Together they form a unique fingerprint.

Cite this