Filtering for fast mean-reverting processes

DOI10.3233/ASY-2010-1011MaRDI QIDQ3082146zbMATH OpenOpenAlexFDO

Authors Andrew Papanicolaou

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

zbMATH Keywords

algorithmsBaum-Welch recursionfast mean reversionKramers-Smoluchowski methodmulti-scale modelsnonlinear filteringnumerical examplestracking

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cited in

(7)

• A parameter estimator based on Smoluchowski-Kramers approximation
• Diffusion approximation for multi-scale stochastic reaction-diffusion equations
• The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
• Filtering on a partially observed ultra-high-frequency data model
• Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states
• The Smoluchowski-Kramers approximation for a system with arbitrary friction depending on both state and distribution
• Fast mean filtering technique (FMFT)

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