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Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups

  • Pierre Del Moral (a1) and L. Miclo (a1)

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.

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ESAIM: Probability and Statistics
  • ISSN: 1292-8100
  • EISSN: 1262-3318
  • URL: /core/journals/esaim-probability-and-statistics
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