Convergence of Nonlinear Filtering for Stochastic Dynamical Systems with Lévy Noises

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.

24 pages

Cited by in corpus (2)

• Effective Filtering for Multiscale Stochastic Dynamical Systems driven by Lévy processes
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