Feynman-Kac formula: Any good introductory literature?
I have been diving into particle methods/sequential Monte Carlo for stochastic dynamical systems a bit and the Feynman-Kac formula pops up every now and then. Unfortunately, I have still not fully understood what it's actual idea is (from what I've glanced so far it seems to be some alternative way to interpret particle trajectories?), and tutorials online are (a) sparse and (b) mainly use it for calculations without providing background.
Could you recommend any good introductory literature on the Feynman-Kac formula, or - in case I massively overestimate the complexity of it - provide a brief explanation of the general idea?
probability-theory book-recommendation
asked Nov 29 at 15:16
J.Galt
204
add a comment |
I have been diving into particle methods/sequential Monte Carlo for stochastic dynamical systems a bit and the Feynman-Kac formula pops up every now and then. Unfortunately, I have still not fully understood what it's actual idea is (from what I've glanced so far it seems to be some alternative way to interpret particle trajectories?), and tutorials online are (a) sparse and (b) mainly use it for calculations without providing background.
Could you recommend any good introductory literature on the Feynman-Kac formula, or - in case I massively overestimate the complexity of it - provide a brief explanation of the general idea?
probability-theory book-recommendation
asked Nov 29 at 15:16
J.Galt
204
I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51
add a comment |
I have been diving into particle methods/sequential Monte Carlo for stochastic dynamical systems a bit and the Feynman-Kac formula pops up every now and then. Unfortunately, I have still not fully understood what it's actual idea is (from what I've glanced so far it seems to be some alternative way to interpret particle trajectories?), and tutorials online are (a) sparse and (b) mainly use it for calculations without providing background.
Could you recommend any good introductory literature on the Feynman-Kac formula, or - in case I massively overestimate the complexity of it - provide a brief explanation of the general idea?
probability-theory book-recommendation
asked Nov 29 at 15:16
J.Galt
204
I have been diving into particle methods/sequential Monte Carlo for stochastic dynamical systems a bit and the Feynman-Kac formula pops up every now and then. Unfortunately, I have still not fully understood what it's actual idea is (from what I've glanced so far it seems to be some alternative way to interpret particle trajectories?), and tutorials online are (a) sparse and (b) mainly use it for calculations without providing background.
Could you recommend any good introductory literature on the Feynman-Kac formula, or - in case I massively overestimate the complexity of it - provide a brief explanation of the general idea?
probability-theory book-recommendation
probability-theory book-recommendation
asked Nov 29 at 15:16
J.Galt
204
asked Nov 29 at 15:16
J.Galt
204
asked Nov 29 at 15:16
J.Galt
204
asked Nov 29 at 15:16
J.Galt
204
asked Nov 29 at 15:16
J.Galt
204
204
I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51
add a comment |
I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51
I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51
I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51
add a comment |
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I personally recommend the book from Oksendal (Introduction to Stochastic Differential Equations).
– user233650
Dec 18 at 11:51