Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States

DOI10.1137/110819937zbMath1269.60044arXiv1203.6626OpenAlexW3103312352MaRDI QIDQ4903659

Andrew Papanicolaou

Publication date: 24 January 2013

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.6626

zbMATH Keywords

homogenizationfilteringhidden Markov modelsergodic theoryaveraged filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27)

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