CONVERGENCE OF A BRANCHING PARTICLE METHOD TO THE SOLUTION OF THE ZAKAI EQUATION

Authors
CRISAN D GAINES J LYONS T
Citation
D. Crisan et al., CONVERGENCE OF A BRANCHING PARTICLE METHOD TO THE SOLUTION OF THE ZAKAI EQUATION, SIAM journal on applied mathematics (Print), 58(5), 1998, pp. 1568-1590
Citations number
32
Categorie Soggetti
Mathematics,Mathematics
Journal title
SIAM journal on applied mathematics (Print) → ACNP
ISSN journal
00361399
Volume
58
Issue
5
Year of publication
1998
Pages
1568 - 1590
Database
ISI
SICI code
0036-1399(1998)58:5<1568:COABPM>2.0.ZU;2-T
Abstract
We construct a sequence of branching particle systems U-n convergent i n distribution to the solution of the Zakai equation. The algorithm ba sed on this result can be used to solve numerically the filtering prob lem. The result is an improvement of the one presented in a recent pap er [Crisan and T. Lyons, Prob. Theory Related Fields, 109 (1997), pp. 217-244], because it eliminates the extra degree of randomness introdu ced there.