Whiteley, Nick; Kantas, Nikolas; Jasra, Ajay - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1840-1865
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance for particle approximations of time-homogeneous Feynman–Kac formulae. These formulae appear in a wide variety of applications including option pricing in finance and risk sensitive control...