Convergence of a Branching Particle Method to the Solution of the Zakai Equation
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Publication:4210052
DOI10.1137/S0036139996307371zbMATH Open0915.93060DBLPjournals/siamam/CrisanGL98WikidataQ55881307 ScholiaQ55881307MaRDI QIDQ4210052FDOQ4210052
Authors: Jessica Gaines, Terence J. Lyons, Dan Crisan 
Publication date: 20 September 1998
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
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Probabilistic methods, stochastic differential equations (65C99) Filtering in stochastic control theory (93E11) Random measures (60G57)
Cited In (24)
- Central limit theorem for nonlinear filtering and interacting particle systems
- Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
- Iterated gain-based stochastic filters for dynamic system identification
- Markov chain approximations to filtering equations for reflecting diffusion processes.
- Residual and stratified branching particle filters
- A particle approximation of the solution of the Kushner-Stratonovitch equation
- A first order scheme for backward doubly stochastic differential equations
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Kernel-based collocation methods for Zakai equations
- The numerical approximation of stochastic partial differential equations
- Particle filters in a multiscale environment: with application to the Lorenz-96 atmospheric model
- An efficient Monte Carlo scheme for Zakai equations
- A branching particle approximation to a filtering micromovement model of asset price
- Robust parameter estimation for stochastic differential equations
- Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations
- Particle representations for a class of nonlinear SPDEs
- Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
- Data Assimilation in the Detection of Vortices
- Splitting-up spectral method for nonlinear filtering problems with correlation noises
- Large deviations for interacting particle systems: Applications to non-linear filtering
- A simulation approach to optimal stopping under partial information
- On the convergence of the wavelet-Galerkin method for nonlinear filtering
- A branching particle system approximation for nonlinear stochastic filtering
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
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