Convergence of a branching particle method to the solution of the zakai equation

SIAM Journal on Applied Mathematics

Volumn 58, Issue 5, 1998, Pages 1568-1590

  Crisan, Dan ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Nonlinear filtering; Numerical solutions; Particle filters; Stochastic partial differential equations; Zakai equation

Indexed keywords

ALGORITHMS; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES;

BRANCHING PARTICLE METHOD; ZAKAI EQUATION;

NONLINEAR FILTERING;

EID: 0032186558     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036139996307371     Document Type: Article

References (2)

1. D. ALDOUS, Stopping times and tightness, Ann. Prob., 6, (1978), pp. 335-340.
2. V. E. BENEŠ, Exact finite-dimensional filters for certain diffusions with nonlinear drift, Stochastics, 5 (1981), pp. 65-92.