Central limit theorem for nonlinear filtering and interacting particle systems

Authors
Del Moral, P Guionnet, A
Citation
P. Del Moral et A. Guionnet, Central limit theorem for nonlinear filtering and interacting particle systems, ANN APPL PR, 9(2), 1999, pp. 275-297
Citations number
39
Categorie Soggetti
Mathematics
Journal title
ANNALS OF APPLIED PROBABILITY
ISSN journal
10505164 → ACNP
Volume
9
Issue
2
Year of publication
1999
Pages
275 - 297
Database
ISI
SICI code
1050-5164(199905)9:2<275:CLTFNF>2.0.ZU;2-A
Abstract
Several random particle systems approaches were recently suggested to solve nonlinear filtering problems numerically. The present analysis is concerne d with genetic-type interacting particle systems. Our aim is to study the f luctuations on path space of such particle-approximating models.