Geodesic
Non-linear filtering using random particles
Teoriâ veroâtnostej i ee primeneniâ, Tome 40 (1995) no. 4, pp. 859-872

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This paper is concerned with extending the particle solution of nonlinear discrete-time filtering problems developed in [Ph.D. thesis, Universitй Paul Sabatier, Tolouse, France, 1994], [Contrat 89.34.553.00.470.75.01, DIGILOG-DRET, 1992], and [Proc. l4iйme Colloque GRETSI, Juan les Pins, September, 13–16, 1993] to continuous-time problems. The minimal sufficient conditions for a time-uniform convergence of our particle filter are quite similar to those described in [Ph.D. thesis, Universitй Paul Sabatier, Tolouse, France, 1994]. Guided by Sussmann's condition, which ensures the continuity of the conditional expectation, we introduce a new regularity concept in this paper.
Keywords: nonlinear, filtering, particle methods. 
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     author = {P. Del Moral},
     title = {Non-linear filtering using random particles},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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P. Del Moral. Non-linear filtering using random particles. Teoriâ veroâtnostej i ee primeneniâ, Tome 40 (1995) no. 4, pp. 859-872. http://geodesic.mathdoc.fr/item/TVP_1995_40_4_a10/