Large deviations for interacting particle systems: Applications to non-linear filtering

DOI10.1016/S0304-4149(98)00057-XzbMath0934.60026OpenAlexW1991333200MaRDI QIDQ1807271

Pierre Del Moral, Alice Guionnet

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00057-x

zbMATH Keywords

stochastic approximationfilteringlarge deviationsinteracting random processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic approximation (62L20) Large deviations (60F10)

Related Items (13)

On the Convergence of Quantum and Sequential Monte Carlo Methods ⋮ Evolving communities with individual preferences ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Large deviations for interacting particle systems: joint mean-field and small-noise limit ⋮ Online expectation maximization based algorithms for inference in hidden Markov models ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ On the form of the large deviation rate function for the empirical measures of weakly interacting systems ⋮ Large deviation properties of weakly interacting processes via weak convergence methods ⋮ A weighted random walk model, with application to a genetic algorithm ⋮ Moderate deviations for particle filtering ⋮ Convergence of empirical processes for interacting particle systems with applications to nonlinear filtering ⋮ Forgetting the initial distribution for hidden Markov models ⋮ Large deviations principle for discrete-time mean-field games

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