A branching particle system approximation for nonlinear stochastic filtering
From MaRDI portal
Publication:370932
DOI10.1007/s11425-013-4591-3zbMath1282.60044MaRDI QIDQ370932
Publication date: 20 September 2013
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-013-4591-3
numerical solution; branching particle system; optimal filter; nonlinear stochastic filtering; system approximation; uniform convergency
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
60G35: Signal detection and filtering (aspects of stochastic processes)
60J99: Markov processes
37M99: Approximation methods and numerical treatment of dynamical systems
65P99: Numerical problems in dynamical systems
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Probability methods for approximations in stochastic control and for elliptic equations
- Particle approximations for a class of stochastic partial differential equations
- Central limit theorem for nonlinear filtering and interacting particle systems
- Robustness and convergence of approximations to nonlinear filters for jump-diffusions
- Nonlinear filtering and measure-valued processes
- Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
- A particle approximation of the solution of the Kushner-Stratonovitch equation
- Superprocesses in a Brownian environment
- Time-discretization of the zakai equation for diffusion processes observed in correlated noise
- An approximation for the nonlinear filtering problem, with error bound†
- A robust discrete state approximation to the optimal nonlinear filter for a diffusiont
- Convergence of a Branching Particle Method to the Solution of the Zakai Equation
- Nonlinear Filtering Revisited: A Spectral Approach
- Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
- Interacting particle systems approximations of the Kushner-Stratonovitch equation
- A survey of convergence results on particle filtering methods for practitioners
- An approximation for the Zakai equation