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May 1998 Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
P. Del Moral
Ann. Appl. Probab. 8(2): 438-495 (May 1998). DOI: 10.1214/aoap/1028903535


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.


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P. Del Moral. "Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems." Ann. Appl. Probab. 8 (2) 438 - 495, May 1998.


Published: May 1998
First available in Project Euclid: 9 August 2002

zbMATH: 0937.60038
MathSciNet: MR1624949
Digital Object Identifier: 10.1214/aoap/1028903535

Primary: 60G35 , 60G57 , 60K35 , 93E11

Keywords: Genetic algorithms , interacting and branching particle systems , Measure-valued processes , Nonlinear filtering

Rights: Copyright © 1998 Institute of Mathematical Statistics


Vol.8 • No. 2 • May 1998
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