Filtering the Maximum Likelihood for Multiscale Problems

DOI10.1137/140952648zbMath1311.93079arXiv1305.1918OpenAlexW3099492297MaRDI QIDQ5251773

Andrew Papanicolaou, Konstantinos V. Spiliopoulos

Publication date: 21 May 2015

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

Full work available at URL: https://arxiv.org/abs/1305.1918

zbMATH Keywords

maximum likelihood estimationhomogenizationZakai equationcentral limit theoryfast mean reversionergodic filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Diffusion (76R50) Estimation and detection in stochastic control theory (93E10) Eigenvalue problems (93B60) Time-scale analysis and singular perturbations in control/observation systems (93C70)

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