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On the Stability and the Approximation of Branching Distribution Flows, with Applications to Nonlinear Multiple Target Filtering
Measure-valued equations nonlinear multi-target filtering Bernoulli filter
2010/12/3
We analyse 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...
Ergodic approximation of the distribution of a stationary diffusion : rate of convergence
stochastic differential equation stationary process steady regime ergodic diffusion Central Limit Theorem Euler scheme
2010/11/26
We extend to Lipschitz continuous functionals either of the true paths or of the Euler scheme with decreasing step of a wide class of Brownian ergodic diffusions, the Central Limit Theorems formally e...