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    On the Stability and the Approximation of Branching Distribution Flows, with Applications to Nonlinear Multiple Target Filtering

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    Fulltext not available
    Authors
    Caron, F.
    Del Moral, P.
    Pace, M.
    Vo, Ba-Ngu
    Date
    2011
    Type
    Journal Article
    
    Metadata
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    Citation
    Caron, F. and Del Moral, P. and Pace, M. and Vo, B. 2011. On the Stability and the Approximation of Branching Distribution Flows, with Applications to Nonlinear Multiple Target Filtering. Stochastic Analysis and Applications. 29 (6): pp. 951-997.
    Source Title
    Stochastic Analysis and Applications
    DOI
    10.1080/07362994.2011.598797
    ISSN
    0736-2994
    URI
    http://hdl.handle.net/20.500.11937/16151
    Collection
    • Curtin Research Publications
    Abstract

    We analyze the exponential stability properties of a class of measure-valued equations arising in nonlinear multi-target filtering problems. We also prove the uniform convergence properties w.r.t. the time parameter of a rather general class of stochastic filtering algorithms, including sequential Monte Carlo type models and mean field particle interpretation models. We illustrate these results in the context of the Bernoulli and the Probability Hypothesis Density filter, yielding what seems to be the first results of this kind in this subject.

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