Exact rates of convergeance for a branching particle approximation to the solution of the Zakai equation

@article{Crisan2003ExactRO,
  title={Exact rates of convergeance for a branching particle approximation to the solution of the Zakai equation},
  author={Dan Crisan},
  journal={Annals of Probability},
  year={2003},
  volume={31},
  pages={693-718}
}
  • D. Crisan
  • Published 1 April 2003
  • Mathematics, Computer Science
  • Annals of Probability
In Crisan, Gaines and Lyons [SIAM J. Appl. Probab. 58 (1998) 313--342] we describe a branching particle algorithm that produces a particle approximation to the solution of the Zakai equation and find an upper bound for the rate of convergence of the mean square error. In this paper, the exact rate of convergence of the mean square error is deduced. Also, several variations of the branching algorithm with better rates of convergence are introduced. 

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