Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
成果类型：
Article
署名作者：
Crisan, D
署名单位：
Imperial College London
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
2003
页码：
693-718
关键词：
摘要：
In Crisan, Gaines and Lyons [SIAM J Appl. Probab. 58 (1998) 313-3421 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.