Nonlinear filtering and measure-valued processes

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 | 1997年 / 109卷 / 02期

关键词：

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

D O I：

10.1007/s004400050131

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 with time and space dependent branching mechanisms whose expectation converges to the solution of the Zakai equation. This gives an alternative numerical method to solve the Filtering Problem.

引用

页码：217 / 244

页数：28

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