Strong approximation of nonlinear filtering for multiscale McKean-Vlasov stochastic systems

arXiv2206.05037MaRDI QIDQ6401679FDOQ6401679

Authors: Huijie Qiao, Wanlin Wei 

Publication date: 10 June 2022

Abstract: In this paper, the average principles and the nonlinear filtering problems of multiscale McKean-Vlasov stochastic differential equations are concerned. First of all, we prove that the slow part of the original system converges to an average system in the $L^p$ ($pgeqslant2$) sense. Then, given an observation process which depends on the distribution of the slow part, we show that the nonlinear filtering of the slow part also converges to that of the average system in the $L^p$ ($pgeqslant1$) sense.

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear parabolic equations (35K55)

This page was built for publication: Strong approximation of nonlinear filtering for multiscale McKean-Vlasov stochastic systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6401679)