Geodesic
Particle Filters for Multiscale Diffusions
Anastasia Papavasiliou1
1 Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK.
ESAIM. Proceedings, Tome 19 (2007), pp. 108-114.

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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.
DOI : 10.1051/proc:071914

Anastasia Papavasiliou 1

1 Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK. 
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Anastasia Papavasiliou. Particle Filters for Multiscale Diffusions. ESAIM. Proceedings, Tome 19 (2007), pp. 108-114. doi : 10.1051/proc:071914. http://geodesic.mathdoc.fr/articles/10.1051/proc:071914/

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