Particle Filters for Multiscale Diffusions
Computation
2007-10-29 v1
Abstract
We consider multiscale stochastic systems that are partially observed at discrete points of the slow time scale. We introduce a particle filter that takes advantage of the multiscale structure of the system to efficiently approximate the optimal filter.
Cite
@article{arxiv.0710.5098,
title = {Particle Filters for Multiscale Diffusions},
author = {Anastasia Papavasiliou},
journal= {arXiv preprint arXiv:0710.5098},
year = {2007}
}
Comments
to appear in ESAIM Proceedings (Workshop on Sequential Monte Carlo Methods: filtering and other applications, Oxford, 2006)