Probability Theory and Related Fields

, Volume 109, Issue 2, pp 217–244 | Cite as

Nonlinear filtering and measure-valued processes

  • Dan Crisan
  • Terry Lyons


We construct a sequence of branching particle systems with time and space dependent branching mechanisms whose expectation converges to the solution of the Zakai equation. This gives an alternative numerical method to solve the Filtering Problem.

AMS Subject Classification (1991): 93E11 60G57 65U05 


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Copyright information

© Springer-Verlag Berlin Heidelberg 1997

Authors and Affiliations

  • Dan Crisan
    • 1
  • Terry Lyons
    • 2
  1. 1.Department of Mathematics, University of Edinburgh, JCMB, KB, Mayfield Road, Edinburgh, EH9 3JZ, UKGB
  2. 2.Department of Mathematics, Huxley Building, Imperial College, 180 Queen's Gate, London SW7 2BZ, UKGB

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