Feynman-Kac formulae

side order of Fokker-Planck

January 27, 2021 — January 27, 2021

Bayes

Monte Carlo

probabilistic algorithms

probability

state space models

statistics

swarm

time series

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There is a mathematically rich theory about sequential Monte Carlo filters, and the central tool to make that go seems to be Feynman-Kac formulae.

Related, apparently: Backward SDEs and the Fokker-Planck equation.

1 Use in SMC

In my field, when we see Feynman-Kac the default assumption is that it is providing a central limit theorem for sequential Monte Carlo. The notoriously abstruse Del Moral (2004) and Doucet, Freitas, and Gordon (2001) are commonly regarded as the canonical introductions to that usage. I will get around to understanding them myself eventually, maybe?

Cheng and Reich (2014) translates the Del Moral (French probabilist?) terminology into my more workaday statistician’s language.

2 Incoming

https://www.perplexity.ai/search/ok-i-want-to-understand-the-fe-9bK5j2N8QYGknpInAZ3YnQ ## References

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