A branching particle system approximation for nonlinear stochastic filtering

DOI10.1007/s11425-013-4591-3zbMath1282.60044OpenAlexW2044725737MaRDI QIDQ370932

Jie Xiong, Hui Li Liu

Publication date: 20 September 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-013-4591-3

zbMATH Keywords

numerical solutionbranching particle systemoptimal filternonlinear stochastic filteringsystem approximationuniform convergency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes (60J99) Approximation methods and numerical treatment of dynamical systems (37M99) Numerical problems in dynamical systems (65P99)

Related Items

A branching particle system approximation for a class of FBSDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Probability methods for approximations in stochastic control and for elliptic equations
• Particle approximations for a class of stochastic partial differential equations
• Central limit theorem for nonlinear filtering and interacting particle systems
• Robustness and convergence of approximations to nonlinear filters for jump-diffusions
• Nonlinear filtering and measure-valued processes
• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• A particle approximation of the solution of the Kushner-Stratonovitch equation
• Superprocesses in a Brownian environment
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• An approximation for the nonlinear filtering problem, with error bound^†
• A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
• Convergence of a Branching Particle Method to the Solution of the Zakai Equation
• Nonlinear Filtering Revisited: A Spectral Approach
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• Interacting particle systems approximations of the Kushner-Stratonovitch equation
• A survey of convergence results on particle filtering methods for practitioners
• An approximation for the Zakai equation