Feynman-Kac formulae

by Pierre Del Moral

"This book contains a systematic and self-contained treatment of Feynman-Kac path measures, then genealogical and interacting particle interpretations, and their applications to a variety of problems arising in statistical physics, biology, and advanced engineering sciences. Topics include spectral analysis of Feynman-Kac-Schrodinger operators, Dirichlet problems with boundary conditions, finance, molecular analysis, rare events and directed polymers simulation, genetic algorithms, Metropolis-Hastings type models, as well as filtering problems and hidden Markov chains." "This text takes readers from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of nonlinear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagation of chaos, central limit, and Berry Esseen type theorems as well as large deviations principles for strong topologies on path-distribution spaces. Topics also include a