A General Convergence Result for Particle Filtering

The particle filter has become an important tool in solving nonlinear filtering problems for dynamic systems. This correspondence extends our recent work, where we proved that the particle filter converges for unbounded functions, using L⁴-convergence. More specifically, the present contribution is that we prove that the particle filter converge for unbounded functions in the sense of Lp-convergence, for an arbitrary p ≥ 2.