  This article considers the problem of storing the paths generated by a
particle filter and more generally by a sequential Monte Carlo algorithm. It
provides a theoretical result bounding the expected memory cost by $T + C N
\log N$ where $T$ is the time horizon, $N$ is the number of particles and $C$
is a constant, as well as an efficient algorithm to realise this. The
theoretical result and the algorithm are illustrated with numerical
experiments.
