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Issue ESAIM: Proc.
Volume 19, 2007
Conference Oxford sur les méthodes de Monte Carlo séquentielles
Page(s) 108 - 114
DOI http://dx.doi.org/10.1051/proc:071914
Published online 30 October 2007

ESAIM: Proc., 2007, Vol. 19, pp. 108-114
DOI: 10.1051/proc:071914

Particle Filters for Multiscale Diffusions

Anastasia Papavasiliou

Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK.

a.papavasiliou@warwick.ac.uk

(Published online: 30 October 2007)

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.


Résumé
On considère des systèmes stochastiques multi-échelles qui sont partiellement observés à des points discrets de l'échelle de temps lente. On introduit un filtre à particule qui utilise la structure multi-échelle du système pour approcher efficacement le filtre optimal.


Mathematics Subject Classification. 93E11, 65C05, 34E13

Key words: multiscale systems, particle filters, stochastic projective integration, heterogeneous multiscale methods


© EDP Sciences, ESAIM 2007


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