Convergence of a Branching Particle Method to the Solution of the Zakai Equation
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Publication:4210052
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- A first order scheme for backward doubly stochastic differential equations
- Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
- Large deviations for interacting particle systems: Applications to non-linear filtering
- On the convergence of the wavelet-Galerkin method for nonlinear filtering
- The numerical approximation of stochastic partial differential equations
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Central limit theorem for nonlinear filtering and interacting particle systems
- Splitting-up spectral method for nonlinear filtering problems with correlation noises
- Particle representations for a class of nonlinear SPDEs
- A branching particle approximation to a filtering micromovement model of asset price
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