Interacting particle systems approximations of the Kushner-Stratonovitch equation

Citation
D. Crisan et al., Interacting particle systems approximations of the Kushner-Stratonovitch equation, ADV APPL P, 31(3), 1999, pp. 819-838
Citations number
25
Categorie Soggetti
Mathematics
Journal title
ADVANCES IN APPLIED PROBABILITY
ISSN journal
00018678 → ACNP
Volume
31
Issue
3
Year of publication
1999
Pages
819 - 838
Database
ISI
SICI code
0001-8678(199909)31:3<819:IPSAOT>2.0.ZU;2-O
Abstract
In this paper we consider the continuous-time filtering problem and we esti mate the order of convergence of an interacting particle system scheme pres ented by the authors in previous works. We will discuss how the discrete ti me approximating model of the Kushner-Stratonovitch equation and the geneti c type interacting particle system approximation combine. We present quench ed error bounds as well as mean order convergence results.