BIRS Workshop Lecture Videos

Banff International Research Station Logo

BIRS Workshop Lecture Videos

A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces Arnaudon, Marc


"Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. I will present a new duality formula between normalized Feynman-Kac distribution and their mean field particle interpretations. Among others, this formula will allow to design a reversible particle Gibbs-Glauber sampler for continuous time Feynman-Kac integration on path spaces. This result extends the particle Gibbs samplers introduced by Andrieu-Doucet-Holenstein in the context of discrete generation models to continuous time Feynman-Kac models and their interacting jump particle interpretations. I will also provide new propagation of chaos estimates for continuous time genealogical tree based particle models with respect to the time horizon and the size of the systems. These results allow to obtain sharp quantitative estimates of the convergence rate to equilibrium of particle Gibbs-Glauber samplers. "

Item Media

Item Citations and Data


Attribution-NonCommercial-NoDerivatives 4.0 International