Rates for branching particle approximations of continuous-discrete filters

DOI10.1214/105051605000000539zbMath1177.93081arXivmath/0602488OpenAlexW1995451610MaRDI QIDQ2496507

Michael A. Kouritzin, Wei Sun

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602488

zbMATH Keywords

Fourier analysisfilteringrates of convergencebranching particle approximationsreference probability measure method

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic particle methods (65C35)

Related Items

Residual and stratified branching particle filters ⋮ Convergence rates for residual branching particle filters ⋮ A simulation approach to optimal stopping under partial information

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