A particle approximation of the solution of the Kushner-Stratonovitch equation (Q1969523)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A particle approximation of the solution of the Kushner-Stratonovitch equation |
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A particle approximation of the solution of the Kushner-Stratonovitch equation (English)
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2 January 2001
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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.
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nonlinear filtering
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minimal variance branching method
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