A particle approximation of the solution of the Kushner-Stratonovitch equation (Q1969523): Difference between revisions

The authors consider the problem of computing \(\pi_t(\varphi)= E [\varphi(X_t) |Y_s\), \(0\leq s\leq t]\), where \(X\) is a Markov process and \(Y_t =\int^t_0 h(X_s)ds+W_t\). They construct a sequence of branching particle systems convergent to the solution of the corresponding Kushner-Stratonovich equation.