Particle Filters for Multiscale Diffusions
Abstract
Description
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.
to appear in ESAIM Proceedings (Workshop on Sequential Monte Carlo Methods: filtering and other applications, Oxford, 2006)
to appear in ESAIM Proceedings (Workshop on Sequential Monte Carlo Methods: filtering and other applications, Oxford, 2006)