Filtering the Maximum Likelihood for Multiscale Problems

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

Konstantinos V. Spiliopoulos, Andrew Papanicolaou

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 estimation; homogenization; Zakai equation; central limit theory; fast mean reversion; ergodic filtering

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

76R50: Diffusion

93E10: Estimation and detection in stochastic control theory

93B60: Eigenvalue problems

93C70: Time-scale analysis and singular perturbations in control/observation systems