Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems

• 成果类型: Article
• 署名作者: Del Moral, P
• 署名单位: Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1998
• 页码: 438-495
• 关键词: fluctuations; propagation; limit; chaos

摘要

In the paper we study interacting particle approximations of discrete time and measure-valued dynamical systems. These 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 systems 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.