Recently we submitted a book chapter for the upcoming Oxford Handbook of Nonlinear Filtering:
M. Hairer, A.M. Stuart and J. Voss:
Signal Processing Problems on Function Space: Bayesian Formulation, Stochastic PDEs and Effective MCMC Methods.
Pages 833–873 in The Oxford Handbook of Nonlinear Filtering,
Dan Crisan and Boris Rozovsky (editors), Oxford University Press, 2011.
link, preprint:pdf, more…