Interacting particle systems approximations of the Kushner-Stratonovitch equation

DOI10.1239/aap/1029955206zbMath0947.60040OpenAlexW2039641106WikidataQ56689535 ScholiaQ56689535MaRDI QIDQ4944093

Pierre Del Moral, Terence J. Lyons, Dan Crisan

Publication date: 1 November 2000

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1029955206

zbMATH Keywords

error boundsgenetic algorithmsnonlinear filteringinteracting particle systemsfilter approximation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (7)

An Introduction to Particle Methods with Financial Applications ⋮ A branching particle system approximation for nonlinear stochastic filtering ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ Approximate McKean–Vlasov representations for a class of SPDEs ⋮ A backward particle interpretation of Feynman-Kac formulae ⋮ Feynman-Kac Particle Integration with Geometric Interacting Jumps ⋮ Numerical solution for a class of SPDEs over bounded domains

This page was built for publication: Interacting particle systems approximations of the Kushner-Stratonovitch equation