Multivariate feedback particle filter rederived from the splitting-up scheme

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

scientific article; zbMATH DE number 3883346 (Why is no real title available?)
A simple proof of the Poincaré inequality for a large class of probability measures
A survey of convergence results on particle filtering methods for practitioners
An Ensemble Kushner-Stratonovich-Poisson Filter for Recursive Estimation in Nonlinear Dynamical Systems
An introduction to stochastic filtering theory.
Approximation of the Kushner Equation for Nonlinear Filtering
Approximation of the Zakaï Equation by the Splitting up Method
Complete Real Time Solution of the General Nonlinear Filtering Problem Without Memory
Convergence analysis of splitting-up algorithm of the Zakai's equation with correlated noises
Coupling techniques for nonlinear ensemble filtering
Feedback Particle Filter
Gibbs Flow for Approximate Transport with Applications to Bayesian Computation
Hermite Spectral Method to 1-D Forward Kolmogorov Equation and Its Application to Nonlinear Filtering Problems
How to avoid the curse of dimensionality: scalability of particle filters with and without importance weights
Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
Linear algebra and its applications
McKean--Vlasov SDEs in Nonlinear Filtering
Mean field games
Multivariable feedback particle filter
New results in linear filtering and prediction theory
On recent advance of nonlinear filtering theory: emphases on global approaches
On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
On the optimal filtering of diffusion processes
Poisson's equation in nonlinear filtering
Real Time Solution of the Nonlinear Filtering Problem without Memory II
Risk sensitive filtering with Poisson process observations
Time-discretization of the zakai equation for diffusion processes observed in correlated noise

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Time-varying feedback particle filter

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