Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes

DOI10.1137/16M1085930zbMath1384.93148arXiv1607.06158MaRDI QIDQ4636358

Andrew Papanicolaou, Konstantinos V. Spiliopoulos

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06158

zbMATH Keywords

parameter estimationhomogenizationdimension reductionfilteringdata assimilationmultiscale diffusions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Time-scale analysis and singular perturbations in control/observation systems (93C70) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and fuzziness (62M86)

Related Items (4)

Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises ⋮ Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises ⋮ Overlapping Clustering Based Technique for Scalable Uncertainty Quantification in Physical Systems ⋮ Effective filtering for multiscale stochastic dynamical systems in Hilbert spaces

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