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The Monte-Carlo method for filtering with discrete-time observations
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  • Published: July 2001

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

  • Pierre Del Moral1,
  • Jean Jacod2 &
  • Philip Protter3 

Probability Theory and Related Fields volume 120, pages 346–368 (2001)Cite this article

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Authors and Affiliations

  1. LSP, Bât. 1R1, Université Paul Sabatier, 118 route de Narbonne, 31062 Toulouse, France (CNRS UMR C5583), , , , , , FR

    Pierre Del Moral

  2. Laboratoire de Probabilités et Modèles aléatoires, Université Paris 6, 4 place Jussieu, 75252 Paris, France (CNRS UMR 7599), , , , , , FR

    Jean Jacod

  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.edu, , , , , , US

    Philip Protter

Authors
  1. Pierre Del Moral
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  2. Jean Jacod
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  3. Philip Protter
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Received: 16 June 1998 / Revised version: 20 September 2000 / Published online: 5 June 2001

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Del Moral, P., Jacod, J. & Protter, P. The Monte-Carlo method for filtering with discrete-time observations. Probab Theory Relat Fields 120, 346–368 (2001). https://doi.org/10.1007/PL00008786

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  • Issue Date: July 2001

  • DOI: https://doi.org/10.1007/PL00008786

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  • Mathematics Subject Classification (2000): 60G35, 93E11, 65C05, 65C30, 60J60
  • Key words or phrases: Filtering – Signal detection – Monte Carlo
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