English

Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time

Numerical Analysis 2020-06-11 v3 Numerical Analysis Probability

Abstract

In the following article we consider the numerical approximation of the non-linear filter in continuous-time, where the observations and signal follow diffusion processes. Given access to high-frequency, but discrete-time observations, we resort to a first order time discretization of the non-linear filter, followed by an Euler discretization of the signal dynamics. In order to approximate the associated discretized non-linear filter, one can use a particle filter (PF). Under assumptions, this can achieve a mean square error of O(ϵ2)\mathcal{O}(\epsilon^2), for ϵ>0\epsilon>0 arbitrary, such that the associated cost is O(ϵ4)\mathcal{O}(\epsilon^{-4}). We prove, under assumptions, that the multilevel particle filter (MLPF) of Jasra et al (2017) can achieve a mean square error of O(ϵ2)\mathcal{O}(\epsilon^2), for cost O(ϵ3)\mathcal{O}(\epsilon^{-3}). This is supported by numerical simulations in several examples.

Keywords

Cite

@article{arxiv.1907.06328,
  title  = {Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time},
  author = {Ajay Jasra and Fangyuan Yu and Jeremy Heng},
  journal= {arXiv preprint arXiv:1907.06328},
  year   = {2020}
}
R2 v1 2026-06-23T10:20:48.336Z