The Annals of Applied Probability
- Ann. Appl. Probab.
- Volume 8, Number 2 (1998), 438-495.
Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
In the paper we study interacting particle approximations of discrete time and measure-valued dynamical systems. These systems have arisen in such diverse scientific disciplines as physics and signal processing. We give conditions for the so-called particle density profiles to converge to the desired distribution when the number of particles is growing. The strength of our approach is that is applicable to a large class of measure-valued dynamical systems arising in engineering and particularly in nonlinear filtering problems. Our second objective is to use these results to solve numerically the nonlinear filtering equation. Examples arising in fluid mechanics are also given.
Ann. Appl. Probab., Volume 8, Number 2 (1998), 438-495.
First available in Project Euclid: 9 August 2002
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Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G57: Random measures 60K35: Interacting random processes; statistical mechanics type models; percolation theory [See also 82B43, 82C43] 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 93E11: Filtering [See also 60G35]
Del Moral, P. Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems. Ann. Appl. Probab. 8 (1998), no. 2, 438--495. doi:10.1214/aoap/1028903535. https://projecteuclid.org/euclid.aoap/1028903535