Particle representation for the solution of the filtering problem. Application to the error expansion of filtering discretizations

arXiv2104.04773MaRDI QIDQ6364962FDOQ6364962

Thomas G. Kurtz, Dan Crisan, Salvador Ortiz-Latorre

Publication date: 10 April 2021

Abstract: We introduce a weighted particle representation for the solution of the filtering problem based on a suitably chosen variation of the classical de Finetti theorem. This representation has important theoretical and numerical applications. In this paper, we explore some of its theoretical consequences. The first is to deduce the equations satisfied by the solution of the filtering problem in three different frameworks: the signal independent Brownian measurement noise model, the spatial observations with additive white noise model and the cluster detection model in spatial point processes. Secondly we use the representation to show that a suitably chosen filtering discretisation converges to the filtering solution. Thirdly we study the leading error coefficient for the discretisation. We show that it satisfies a stochastic partial differential equation by exploiting the weighted particle representation for both the approximation and the limiting filtering solution.

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Filtering in stochastic control theory (93E11) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) (L^p)-limit theorems (60F25)

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