Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems

DOI10.1214/AOAP/1028903535zbMATH Open0937.60038OpenAlexW2111099383WikidataQ55881306 ScholiaQ55881306MaRDI QIDQ1296742FDOQ1296742

Authors: Pierre Del Moral 

Publication date: 7 June 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903535

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zbMATH Keywords

nonlinear filteringmeasure-valued dynamical systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Random measures (60G57)

Cites Work

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Cited In (30)

• Weak Feller property of non-linear filters
• On the stability and the approximation of branching distribution flows, with applications to nonlinear multiple target filtering
• Sequential Monte Carlo methods for filtering of unobservable components of multidimensional diffusion Markov processes
• Estimation strategies for the condition monitoring of a battery system in a hybrid electric vehicle
• Optimal quantization methods for nonlinear filtering with discrete-time observations
• Enhanced consistency of the resampled convolution particle filter
• On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process
• Modeling genetic algorithms with interacting particle systems
• Self-Interacting Markov Chains
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Nonparametric multi-step prediction in nonlinear state space dynamic systems
• A Note on Convergence of the Equi-Energy Sampler
• Kolmogorov equations on spaces of measures associated to nonlinear filtering processes
• Optimal smoothing of nonlinear dynamic systems via Monte Carlo Markov chains
• A Berry-Esseen theorem for Feynman-Kac and interacting particle models
• Application of nonlinear filtering to credit risk
• Particle approximation of the intensity measures of a spatial branching point process arising in multitarget tracking
• Stationary distributions of a model of sympatric speciation
• Interacting and annealing particle filters: mathematics and a recipe for applications
• Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
• Implicit sampling, with application to data assimilation
• On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
• A random map implementation of implicit filters
• On the stability of measure valued processes with applications to filtering
• Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions
• Propagation of chaos: a review of models, methods and applications. I: Models and methods
• Propagation of chaos: a review of models, methods and applications. II: Applications
• On the foundations and the applications of evolutionary computing
• Mining the hidden link structure from distribution flows for a spatial social network
• The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems

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