Convergence of a Branching Particle Method to the Solution of the Zakai Equation

Dan Crisan, J. G. Gaines, Terry Lyons

Type: Article

Publication Date: 1998-10-01

Citations: 83

DOI: https://doi.org/10.1137/s0036139996307371

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Locations

SIAM Journal on Applied Mathematics - View

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+ PDF Chat	Central limit theorem for nonlinear filtering and interacting particle systems	1999	Pierre Del Moral Alice Guionnet
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+	On the stability of interacting processes with applications to filtering and geneticÂ algorithms	2001	Pierre Del Moral Alice Guionnet
+	A First Order Scheme for Backward Doubly Stochastic Differential Equations	2016	Feng Bao Yanzhao Cao A. J. Meir Weidong Zhao
+	Convergence of a branching and interacting particle system to the solution of a nonlinear stochastic PDE	2004	Samy Tindel Frédéri Viens
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Works Cited by This (12)

Action	Title	Year	Authors
+ PDF Chat	Nonlinear filtering and measure-valued processes	1997	Dan Crisan Terry Lyons
+	A criterion of convergence of measure‐valued processes: application to measure branching processes	1986	Sylvie Roelly‐ Coppoletta
+	Approximation of some stochastic differential equations by the splitting up method	1992	Alain Bensoussan Roland Glowinski Aurel Răşcanu
+	Approximation of the Zakaï Equation by the Splitting up Method	1990	Alain Bensoussan Roland Glowinski Aurel Răşcanu
+	Approximate Integration of Stochastic Differential Equations	1975	G. N. Mil’shtejn
+ PDF Chat	A particle approximation of the solution of the Kushner–Stratonovitch equation	1999	Dan Crisan Terry Lyons
+	Exact finite-dimensional filters for certain diffusions with nonlinear drift	1981	Vladimír Beneš
+	Pathwise approximation and simulation for the Zakai filtering equation through operator splitting	1993	Min Sun Roland Glowinski
+	The nonlinear filtering problem for the unbounded case	1984	G. Kallianpur Rajeeva L. Karandikar
+	Novel approach to nonlinear/non-Gaussian Bayesian state estimation	1993	Neil Gordon David Salmond A. F. M. Smith