Particle approximations for a class of stochastic partial differential equations (Q861499)

This paper presents a particle approximation for a class of nonlinear stochastic partial differential equations, related to filtering problem where the signal noise and the observation noise are correlated. The author shows how to construct a good approximating particle system, using weighted approximation approach and the branching correction approach. The results are a generalization of his previous paper with \textit{T. Lyons} [Probab. Theory Relat. Fields 115, No.~4, 549--578 (1999; Zbl 0951.93068)].