Filtering for fast mean-reverting processes
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Publication:3082146
DOI10.3233/ASY-2010-1011zbMath1215.65020OpenAlexW3124377413MaRDI QIDQ3082146
Publication date: 9 March 2011
Published in: Asymptotic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/asy-2010-1011
algorithmstrackingnumerical examplesnonlinear filteringmulti-scale modelsfast mean reversionBaum-Welch recursionKramers-Smoluchowski method
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