DMCA
Measure Valued Processes and Interacting Particle Systems. Application to Non Linear Filtering Problems (1996)
| Venue: | Ann. Appl. Prob |
| Citations: | 23 - 6 self |
BibTeX
@ARTICLE{Moral96measurevalued,
author = {P. Del Moral},
title = {Measure Valued Processes and Interacting Particle Systems. Application to Non Linear Filtering Problems},
journal = {Ann. Appl. Prob},
year = {1996},
volume = {8},
pages = {438--495}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
In the paper we study interacting particle approximations of discrete time and measure valued dynamical systems. Such systems have arisen in such diverse scientific disciplines as physics and signal processing. We give conditions for the so-called particle density profiles to converge to the desired distribution when the number of particles is growing. The strength of our approach is that is applicable to a large class of measure valued dynamical system arising in engineering and particularly in nonlinear filtering problems. Our second objective is to use these results to solve numerically the nonlinear filtering equation. Examples arising in fluid mechanics are also given. 1 Introduction 1.1 Measure valued processes Let (E; fi(E)) be a locally compact and separable metric space, endowed with a Borel oe-field, state space. Denote by P(E) be the space of all probability measures on E with the weak topology. The aim of this work is the design of a stochastic particle system approach fo...
Keyphrases
interacting particle system non linear filtering problem dynamical system separable metric space stochastic particle system approach fo state space borel oe-field signal processing discrete time probability measure weak topology diverse scientific discipline particle approximation nonlinear filtering equation process let large class fluid mechanic second objective so-called particle density profile nonlinear filtering problem
