Nonlinear filtering and measure-valued processes

  title={Nonlinear filtering and measure-valued processes},
  author={D. Crisan and Terry Lyons},
  journal={Probability Theory and Related Fields},
  • D. Crisan, Terry Lyons
  • Published 1997
  • Mathematics
  • Probability Theory and Related Fields
  • 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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