Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation

DOI10.1214/aop/1048516533zbMath1137.60335OpenAlexW2092349335MaRDI QIDQ1394524

Dan Crisan

Publication date: 23 June 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1048516533

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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