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

MaRDI QIDQ6401679zbMATH OpenFDO

Authors Huijie Qiao, Wanlin Wei

Publication date 10 June 2022

Mathematics Subject Classification ID

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

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.

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