The Annals of Applied Probability

Central limit theorem for nonlinear filtering and interacting particle systems

P. Del Moral and A. Guionnet

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Several random particle systems approaches were recently suggested to solve nonlinear filtering problems numerically. The present analysis is concerned with genetic-type interacting particle systems. Our aim is to study the fluctuations on path space of such particle-approximating models.

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Ann. Appl. Probab. Volume 9, Number 2 (1999), 275-297.

First available in Project Euclid: 21 August 2002

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Primary: 60F05: Central limit and other weak theorems 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 93E11: Filtering [See also 60G35] 62L20: Stochastic approximation

Central limit interacting random processes filtering stochastic approximation


Del Moral, P.; Guionnet, A. Central limit theorem for nonlinear filtering and interacting particle systems. Ann. Appl. Probab. 9 (1999), no. 2, 275--297. doi:10.1214/aoap/1029962742.

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