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

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

2010-09-09

arxiv.org/abs/1009.1845v1

Mathematics

Probability

Scientific paper

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 time parameter of a rather general class of stochastic filtering algorithms, including sequential Monte Carlo type models and mean eld 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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