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Probability Theory and Related Fields

, Volume 120, Issue 3, pp 346–368 | Cite as

The Monte-Carlo method for filtering with discrete-time observations

  • Pierre Del Moral
  • Jean Jacod
  • Philip Protter
Mathematics Subject Classification (2000): 60G35, 93E11, 65C05, 65C30, 60J60 
Key words or phrases: Filtering – Signal detection – Monte Carlo 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Pierre Del Moral
    • 1
  • Jean Jacod
    • 2
  • Philip Protter
    • 3
  1. 1.LSP, Bât. 1R1, Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France (CNRS UMR C5583)FR
  2. 2.Laboratoire de Probabilités et Modèles aléatoires, Université Paris 6, 4 place Jussieu, 75252 Paris, France (CNRS UMR 7599)FR
  3. 3.ORIE, Rhodes Hall, Cornell University, Ithaca, NY 14853-3801, USA and Mathematics and Statistics Departments, Purdue University, W. Lafayette, IN 47907-1395, USA. e-mail: pep4@cornell.eduUS

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