scientific article; zbMATH DE number 1358322
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Publication:4700900
zbMATH Open0967.93088MaRDI QIDQ4700900FDOQ4700900
Pierre Del Moral, Dan Crisan, Terence J. Lyons
Publication date: 20 August 2001
Title of this publication is not available (Why is that?)
particle systemsnonlinear filteringnumerical solutionsmeasure valued processesbranching algorithmsdiscrete-time filteringinteracting algorithms
Filtering in stochastic control theory (93E11) Random measures (60G57) Stochastic particle methods (65C35) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55)
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- Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
- Markov chain approximations to filtering equations for reflecting diffusion processes.
- Residual and stratified branching particle filters
- A uniformly convergent adaptive particle filter
- Importance sampling: intrinsic dimension and computational cost
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- Sampling the posterior: an approach to non-Gaussian data assimilation
- Rates for branching particle approximations of continuous-discrete filters
- A Survey of Sequential Monte Carlo Methods for Economics and Finance
- Title not available (Why is that?)
- Parameter estimation and asymptotic stability in stochastic filtering
- The diffusion kernel filter
- Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations
- Design and implementation of flexible resampling mechanism for high-speed parallel particle filters
- On resampling schemes for particle filters with weakly informative observations
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Interacting and annealing particle filters: mathematics and a recipe for applications
- Nonlinear filters for chaotic oscillatory systems
- Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering
- Particle-kernel estimation of the filter density in state-space models
- A general theory of particle filters in hidden Markov models and some applications
- Analysis of error propagation in particle filters with approximation
- Title not available (Why is that?)
- A survey of numerical methods for nonlinear filtering problems
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