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

被引：43

作者：

Crisan, D ^{[1
]}

Lyons, T ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2BZ, England

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1999年 / 115卷 / 04期

关键词：

Mathematics Subject Classification (1991): 93E11, 60G57, 65U05;

D O I：

10.1007/s004400050249

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We construct a sequence of branching particle systems a, convergent in measure to the solution of the Kushner-Stratonovitch equation. The algorithm based 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 algorithm we have identified so far.

引用

页码：549 / 578

页数：30

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