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The state is a Markov chain (\\({\\underline{X}}_n\\in \\mathbb R^p\\)) and the observations (\\({\\underline{Y}}_n\\in \\mathbb R^q\\)) are independent given the current state. The conditional law of the current state given the preceding one and that of the current observation given the current state are each assumed to have a conditional density with respect to an a priori law. The problem is that of estimating recursively the law of the current state given current and past observations. It is usually impossible to obtain that law analytically and particle filters are means to obtain approximations of that law in the form of an average of point masses. They typically sample from a recursively defined conditional density for the state and are related to genetic algorithms. The theory then covers questions of convergence of these particle filters.  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