Interacting particle systems approximations of the Kushner-Stratonovitch equation

被引：22

作者：

Crisan, D

Del Moral, P

Lyons, TJ

机构：

[1] Univ Cambridge, Dept Pure Math & Math Stat, Cambridge CB2 1SB, England

[2] Univ Toulouse 3, CNRS, UMR C55830, Lab Stat & Probabil, F-31062 Toulouse, France

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

来源：

ADVANCES IN APPLIED PROBABILITY | 1999年 / 31卷 / 03期

关键词：

non-linear filtering; filter approximation; error bounds; interacting particle systems; genetic algorithms;

D O I：

10.1239/aap/1029955206

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：

In this paper we consider the continuous-time filtering problem and we estimate the order of convergence of an interacting particle system scheme presented by the authors in previous works. We will discuss how the discrete time approximating model of the Kushner-Stratonovitch equation and the genetic type interacting particle system approximation combine. We present quenched error bounds as well as mean order convergence results.

引用

页码：819 / 838

页数：20

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