About the strong propagation of chaos for interacting particle approximations of Feynman-Kac formulae

• auteur 1
• auteur 2

Code(s) de Classification MSC:

• 60F17, 60K35, 60J25, 65C05, 65D30, 60J75, 60G44, 60F05 et 60G35

Résumé: Recently we have introduced Moran type \ipss\ in order to solve numerically normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating procedures for certain simple generalized spatially homogeneous Boltzmann equations, so strong propagation of chaos is known to hold for them. We will give a new proof of this result by studying the evolution of tensorized empirical measures and then applying two straightforward coupling arguments. The only difficulty is in the first step to find nice martingales, and this will be done via the introduction of another family of Moran semigroups. This work also procures us the opportuneness to present an appropriate abstract setting, in particular without any topological assumption on the state space, and to apply a genealogical algorithm for the smoothing problem in nonlinear filtering context.

Mots Clés: Feynman-Kac formulae, canonical progressive processes, perturbations of general Markov processes by jump bounded generators, interacting particle systems, weak and strong propagation of chaos, tensorized empirical measures, Moran semigroups and martingales, coupling, genealogical processes and smoothing problems in nonlinear filtering.

Date: 2000-05-26

Prépublication numéro: LSP-2000-08