The brownian fan

Martin Hairer, Jonathan Weare

Research output: Contribution to journalArticle

Abstract

We provide a mathematical study of the modified diffusion Monte Carlo (DMC) algorithm introduced in the companion article [3]. DMC is a simulation technique that uses branching particle systems to represent expectations associated with Feynman-Kac formulae. We provide a detailed heuristic explanation of why, in cases in which a stochastic integral appears in the Feynman-Kac formula (e.g., in rare event simulation, continuous time filtering, and other settings), the new algorithm is expected to converge in a suitable sense to a limiting process as the time interval between branching steps goes to 0. The situation studied here stands in stark contrast to the "naï ve" generalization of the DMC algorithm, which would lead to an exponential explosion of the number of particles, thus precluding the existence of any finite limiting object. Convergence is shown rigorously in the simplest possible situation of a random walk, biased by a linear potential. The resulting limiting object, which we call the "Brownian fan," is a very natural new mathematical object of independent interest.

Original languageEnglish (US)
Pages (from-to)1-60
Number of pages60
JournalCommunications on Pure and Applied Mathematics
Volume68
Issue number1
DOIs
StatePublished - Jan 1 2015

Fingerprint

Fans
Feynman-Kac Formula
Limiting
Monte Carlo Algorithm
Branching Particle System
Rare Event Simulation
Stochastic Integral
Explosion
Explosions
Biased
Branching
Continuous Time
Random walk
Filtering
Heuristics
Converge
Interval
Fan
Object
Simulation

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

Cite this

The brownian fan. / Hairer, Martin; Weare, Jonathan.

In: Communications on Pure and Applied Mathematics, Vol. 68, No. 1, 01.01.2015, p. 1-60.

Research output: Contribution to journalArticle

Hairer, Martin ; Weare, Jonathan. / The brownian fan. In: Communications on Pure and Applied Mathematics. 2015 ; Vol. 68, No. 1. pp. 1-60.
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