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Abstract: In [5] we describe a branching particle algorithm which produces a particle approximation to the solution of the Zakai equation and nd an upper bound for the rate of convergence of the mean square error. In this paper, the exact rate of convergence of the mean square error is deduced. Also, several variations of branching algorithm with better rates of convergence are introduced. (Update)
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0.5: Universites de Paris 6 Paris 7 - CNRS (UMR 7599) PR - Epublications Du Laboratoire (Correct)
0.5: On the Height Profile of a Conditioned Galton-Watson Tree - Kersting (1998) (Correct)
0.4: The Problem Of Nonlinear Filtering - Crisan (1996) (Correct)
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0.0: Unknown - (Correct)
BibTeX entry: (Update)
@misc{ an-exact,
author = "Dan Cris An",
title = "Exact rates of convergence for a branching particle approximation to the
solution of the Zakai equation",
url = "citeseer.ist.psu.edu/754595.html" }
Citations (may not include all citations):406 Sequential Monte Carlo methods in practice (context) - Doucet, de Freitas et al. - 2001
294 Brownian Motion and Stochastic Calculus (context) - Karatzas, Shreve - 1988
28 Stochastic Control of Partially Observable Systems (context) - Bensoussan - 1992
16 Nonlinear Filtering And Measure Valued Processes (context) - Crisan, Lyons - 1997
13 Filtrage Non Lineaire et Equations aux Derivees Partielle.. (context) - Pardoux - 1989
13 A Particle Approximation of the Solution of the KushnerStrat.. (context) - Crisan, Lyons - 1999
12 Convergence of a Branching Particle Method to the Solution o.. - Crisan, Gaines et al. - 1998
8 Discrete ltering using branching and interacting particle sy.. (context) - Crisan, Moral et al. - 1999
8 Wahrscheinlichkeitstheorie und Verw (context) - Zakai, optimal et al. - 1969
4 Estimation of Stochastic Systems: Arbitrary System Process w.. (context) - Kallianpur, Striebel - 1968
3 Unique Characterisation of Conditional Distributions in Nonl.. (context) - Kurtz, Ocone - 1988
3 erential equations for the non linear ltering problem (context) - Fujisaki, Kallianpur et al. - 1972
2 Characterisation and Convergence (context) - Ethier, Kurtz et al. - 1986
2 Stochastic Partial Di erential Equations and Filtering of Di.. (context) - Pardoux - 1979
1 Particle Representation for a Class of Nonlinear SPDE's (context) - Kurtz, Xiong - 1999
1 Dynamical equations for optimal nonlinear ltering (context) - Kushner - 1967
1 Numerical Solutions for a Class of SPDEs with Application to.. - Kurtz, Xiong
1 Conditional distributions of di usion processes (context) - Krylov, Rozovskii - 1978
1 The Problem of Nonlinear Filtering - Crisan - 1996
1 Sur les theories du ltrage et de la prediction (context) - Yor - 1977
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