Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises. Issue 2 (4th March 2022)

• Record Type: Journal Article
• Authors: Qiao, Huijie
• Is Part Of: Stochastic analysis and applications. Volume 40:Issue 2(2022)
• Page Start: 352
• Page End: 379
• Publication Date: 2022-03-04
• Subjects: Nonlinear filtering -- dimensional reduction -- homogenization -- weak convergence; 60G35 -- 60G51 -- 60H10; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2021.1914087
• Languages: English
• ISSNs: 0736-2994

Abstract

Abstract: We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. First, we prove that the dimension for the signal system can be reduced by a homogenized approach. Second, 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.