Particle Filters for Multiscale Diffusions

Details Particle Filters for Multiscale Diffusions Particle Filters for Multiscale Diffusions

2007-10-26

arxiv.org/abs/0710.5098v1

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to appear in ESAIM Proceedings (Workshop on Sequential Monte Carlo Methods: filtering and other applications, Oxford, 2006)

Scientific paper

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.

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