A particle approximation of the solution of the Kushner-Stratonovitch equation

DOI10.1007/s004400050249zbMath0951.93068OpenAlexW2059529579WikidataQ55881310 ScholiaQ55881310MaRDI QIDQ1969523

Terence J. Lyons, Dan Crisan

Publication date: 2 January 2001

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050249

zbMATH Keywords

nonlinear filteringminimal variance branching method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Random measures (60G57) Stochastic particle methods (65C35)

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