A particle approximation of the solution of the Kushner-Stratonovitch equation

Authors
Crisan, D Lyons, T
Citation
D. Crisan et T. Lyons, A particle approximation of the solution of the Kushner-Stratonovitch equation, PROB TH REL, 115(4), 1999, pp. 549-578
Citations number
20
Categorie Soggetti
Mathematics
Journal title
PROBABILITY THEORY AND RELATED FIELDS
ISSN journal
01788051 → ACNP
Volume
115
Issue
4
Year of publication
1999
Pages
549 - 578
Database
ISI
SICI code
0178-8051(199912)115:4<549:APAOTS>2.0.ZU;2-J
Abstract
We construct a sequence of branching particle systems a, convergent in meas ure to the solution of the Kushner-Stratonovitch equation. The algorithm ba sed on this result can be used to solve numerically the filtering problem. We prove that the rate of convergence of the algorithm is of order n(1/4). This paper is the third in a sequence, and represents the most efficient al gorithm we have identified so far.