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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Received: 12 April 1995 / In revised form: 1 April 1997
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Crisan, D., Lyons, T. Nonlinear filtering and measure-valued processes. Probab Theory Relat Fields 109, 217–244 (1997). https://doi.org/10.1007/s004400050131
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DOI: https://doi.org/10.1007/s004400050131