Large Deviations for Interacting Particle Systems. Applications to Non Linear Filtering

  • A. GuionnetyAbstractThe
  • Published 1997


The non linear ltering problem consists in computing the conditional distributions of a Markov signal process given its noisy observations. The dynamical structure of such distributions can be modelled by a measure valued dynamical Markov process. Several random particle approximations were recently suggested to approximate recursively in time the so-called… (More)


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