Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises

DOI10.1080/07362994.2021.1914087MaRDI QIDQ5074271zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 9 May 2022

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.07824

zbMATH Keywords

weak convergencedimensional reductionhomogenizationnonlinear filtering

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly, convergence of the corresponding nonlinear filtering to the homogenized filtering is shown by a weak convergence technique. Finally, we give an example to explain our result.

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Cites work

• scientific article; zbMATH DE number 3729228 (Why is no real title available?)
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Cited in

(10)

• Convergence in Nonlinear Filtering for Stochastic Delay Systems
• Convergence of nonlinear filters for randomly perturbed dynamical systems
• Effective filtering for multiscale stochastic dynamical systems driven by Lévy processes
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Stochastic differential equations with Hölder-Dini drift and driven by \(\alpha\)-stable processes
• Dimensional reduction in nonlinear filtering: a homogenization approach
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems
• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises

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