Geodesic
Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman-Kac semigroups
ESAIM: Probability and Statistics, Tome 7 (2003), pp. 171-208

Voir la notice de l'article provenant de la source Numdam

We present an interacting particle system methodology for the numerical solving of the Lyapunov exponent of Feynman-Kac semigroups and for estimating the principal eigenvalue of Schrödinger generators. The continuous or discrete time models studied in this work consists of N interacting particles evolving in an environment with soft obstacles related to a potential function V. These models are related to genetic algorithms and Moran type particle schemes. Their choice is not unique. We will examine a class of models extending the hard obstacle model of K. Burdzy, R. Holyst and P. March and including the Moran type scheme presented by the authors in a previous work. We provide precise uniform estimates with respect to the time parameter and we analyze the fluctuations of continuous time particle models.

DOI : 10.1051/ps:2003001
Classification : 62L20, 65C05, 81Q05, 82C22
Keywords: Feynman-Kac formula, Schrödinger operator, spectral radius, Lyapunov exponent, spectral decomposition, semigroups on a Banach space, interacting particle systems, genetic algorithms, asymptotic stability, central limit theorems 
@article{PS_2003__7__171_0,
     author = {Del Moral, Pierre and Miclo, L.},
     title = {Particle approximations of {Lyapunov} exponents connected to {Schr\"odinger} operators and {Feynman-Kac} semigroups},
     journal = {ESAIM: Probability and Statistics},
     pages = {171--208},
     publisher = {EDP-Sciences},
     volume = {7},
     year = {2003},
     doi = {10.1051/ps:2003001},
     zbl = {1040.81009},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps:2003001/}
}
TY  - JOUR
AU  - Del Moral, Pierre
AU  - Miclo, L.
TI  - Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman-Kac semigroups
JO  - ESAIM: Probability and Statistics
PY  - 2003
SP  - 171
EP  - 208
VL  - 7
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps:2003001/
DO  - 10.1051/ps:2003001
LA  - en
ID  - PS_2003__7__171_0
ER  - 
%0 Journal Article
%A Del Moral, Pierre
%A Miclo, L.
%T Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman-Kac semigroups
%J ESAIM: Probability and Statistics
%D 2003
%P 171-208
%V 7
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps:2003001/
%R 10.1051/ps:2003001
%G en
%F PS_2003__7__171_0
Del Moral, Pierre; Miclo, L. Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman-Kac semigroups. ESAIM: Probability and Statistics, Tome 7 (2003), pp. 171-208. doi: 10.1051/ps:2003001

Cité par Sources :