Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states

DOI10.1137/110819937MaRDI QIDQ4903659zbMATH OpenOpenAlexFDO

Authors 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

averaged filterergodic theoryfilteringhidden Markov modelshomogenization

Mathematics Subject Classification ID

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

Abstract: We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled Ornstein-Uhlenbeck process with fast reversion to a shifting-mean that is controlled by a continuous time Markov chain modeling regime change. We show that the nonlinear filter for such a process can be approximated by an averaged filter that asymptotically coincides with the true nonlinear filter of the regime-changing Markov chain as the rate of mean reversion approaches infinity. The asymptotics exploit weak converge of the state variables to an invariant distribution, which is significantly different from the strong convergence used to obtain asymptotic results in "Filtering for Fast Mean-Reverting Processes" (19).

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(3)

• Filtering for fast mean-reverting processes
• Filtering a Double Threshold Model With Regime Switching
• Asymptotic expansions of evolution equations with fast volatility

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