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Interacting Particle Systems Approximations of the Kushner-Stratonovitch Equation

D. Crişan, P. Del Moral and T. J. Lyons
Advances in Applied Probability
Vol. 31, No. 3 (Sep., 1999), pp. 819-838
Stable URL: http://www.jstor.org/stable/1428398
Page Count: 20
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Interacting Particle Systems Approximations of the Kushner-Stratonovitch Equation
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Abstract

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.

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