Particle Filters for Multiscale Diffusions

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dc.creatorPapavasiliou, Anastasia
dc.date2007-10-26
dc.date.accessioned2026-07-07T08:38:51Z
dc.date.available2026-07-07T08:38:51Z
dc.descriptionWe 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.
dc.descriptionto appear in ESAIM Proceedings (Workshop on Sequential Monte Carlo Methods: filtering and other applications, Oxford, 2006)
dc.identifierhttps://arxiv.org/abs/0710.5098
dc.identifierhttp://arxiv.org/abs/0710.5098
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/140878
dc.subjectComputation
dc.titleParticle Filters for Multiscale Diffusions
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