Particle Filters for Multiscale Diffusions
نویسنده
چکیده
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.
منابع مشابه
Particle Filters for Partially Observed Diffusions
In this paper we introduce a novel particle filter scheme for a class of partiallyobserved multivariate diffusions. We consider a variety of observation schemes, including diffusion observed with error, observation of a subset of the components of the multivariate diffusion and arrival times of a Poisson process whose intensity is a known function of the diffusion (Cox process). Unlike currentl...
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