Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises

DOI10.1142/s0219493723500168zbMath1523.60067arXiv1910.09265MaRDI QIDQ6038472

Huijie Qiao

Publication date: 2 May 2023

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.09265

zbMATH Keywords

weak convergence; multiscale systems; uniform mean square convergence; correlated Lévy noises

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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