Section: New Results

LP-convergence of a Girsanov theorem based particle filter

We have analyzed the LP-convergence of a previously proposed Girsanov theorem based particle filter for discretely observed stochastic differential equation (SDE) models. We proved the convergence of the algorithm with the number of particles tending to infinity by requiring a moment condition and a step-wise initial condition boundedness for the stochastic exponential process giving the likelihood ratio of the SDEs. The practical implications of the condition are illustrated with an Ornstein–Uhlenbeck model and with a non-linear Bene's model.