Convergence of a Branching Particle Method to the Solution of the Zakai Equation

DOI10.1137/S0036139996307371zbMath0915.93060DBLPjournals/siamam/CrisanGL98WikidataQ55881307 ScholiaQ55881307MaRDI QIDQ4210052

Terence J. Lyons, Jessica Gaines, Dan Crisan

Publication date: 20 September 1998

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

approximationnonlinear filteringnumerical solutionsZakai equationbranching particle method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Random measures (60G57) Probabilistic methods, stochastic differential equations (65C99)

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