Interacting particle systems approximations of the Kushner-Stratonovitch equation
- 1 September 1999
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 31 (3) , 819-838
- https://doi.org/10.1239/aap/1029955206
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.Keywords
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