Nonlinear filtering and measure-valued processes

@article{Crisan1997NonlinearFA,
  title={Nonlinear filtering and measure-valued processes},
  author={Dan Crisan and Terry Lyons},
  journal={Probability Theory and Related Fields},
  year={1997},
  volume={109},
  pages={217-244}
}
  • D. CrisanTerry Lyons
  • Published 1 October 1997
  • Business, 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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A new approach to linear filtering and prediction problems" transaction of the asme~journal of basic

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