Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises

DOI10.1080/07362994.2021.1914087zbMATH Open1492.60100arXiv1707.07824OpenAlexW3157334613MaRDI QIDQ5074271FDOQ5074271

Authors: Huijie Qiao 

Publication date: 9 May 2022

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

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.

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

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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)

Cites Work

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Cited In (5)

• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• Convergence in Nonlinear Filtering for Stochastic Delay Systems
• Stochastic differential equations with Hölder-Dini drift and driven by \(\alpha\)-stable processes
• Nonlinear filtering of stochastic differential equations with correlated Lévy noises
• Convergence of nonlinear filters for randomly perturbed dynamical systems

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