| Issue |
ESAIM: Proc.
Volume 19, 2007
Conference Oxford sur les méthodes de Monte Carlo séquentielles
|
|
|---|---|---|
| Page(s) | 108 - 114 | |
| DOI | https://doi.org/10.1051/proc:071914 | |
| Published online | 30 October 2007 | |
Particle Filters for Multiscale Diffusions
Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK.
Corresponding author: a.papavasiliou@warwick.ac.uk
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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