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Nonlinear filtering and measure-valued processes
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  • Published: October 1997

Nonlinear filtering and measure-valued processes

  • Dan Crisan1 &
  • Terry Lyons2 

Probability Theory and Related Fields volume 109, pages 217–244 (1997)Cite this article

Summary.

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.

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Authors and Affiliations

  1. Department of Mathematics, University of Edinburgh, JCMB, KB, Mayfield Road, Edinburgh, EH9 3JZ, UK, , , , , , GB

    Dan Crisan

  2. Department of Mathematics, Huxley Building, Imperial College, 180 Queen's Gate, London SW7 2BZ, UK, , , , , , GB

    Terry Lyons

Authors
  1. Dan Crisan
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  2. Terry Lyons
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Additional information

Received: 12 April 1995 / In revised form: 1 April 1997

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Cite this article

Crisan, D., Lyons, T. Nonlinear filtering and measure-valued processes. Probab Theory Relat Fields 109, 217–244 (1997). https://doi.org/10.1007/s004400050131

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  • Issue Date: October 1997

  • DOI: https://doi.org/10.1007/s004400050131

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