A branching particle system approximation for nonlinear stochastic filtering

DOI10.1007/s11425-013-4591-3zbMath1282.60044OpenAlexW2044725737MaRDI QIDQ370932

Jie Xiong, Hui Li Liu

Publication date: 20 September 2013

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-013-4591-3

zbMATH Keywords

numerical solutionbranching particle systemoptimal filternonlinear stochastic filteringsystem approximationuniform convergency

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes (60J99) Approximation methods and numerical treatment of dynamical systems (37M99) Numerical problems in dynamical systems (65P99)

Related Items (1)

A branching particle system approximation for a class of FBSDEs

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