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Approximation and limit results for nonlinear filters over an infinite time interval. II: Random sampling algorithms. (English) Zbl 1031.93148

The paper is a sequel to Part I [A. Budhiraja and H. J. Kushner, SIAM J. Control Optim. 37, 1946-1979 (1999; Zbl 0934.93064)] and is concerned with approximations to nonlinear filtering problems that have been of interest for a very long time. In contrast to Part I, the authors propose here to use sampling-based algorithms or combinations of sampling methods and methods of Part I.

MSC:

93E11 Filtering in stochastic control theory
93C10 Nonlinear systems in control theory
93C57 Sampled-data control/observation systems

Citations:

Zbl 0934.93064
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