Convergence of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises

Huijie Qiao

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arXiv · 1707.07824

Convergence of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises

Huijie Qiao

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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.

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BibTeX RIS

Huijie Qiao. 2017-07-25. Convergence of Nonlinear Filtering for Stochastic Dynamical Systems with L\'evy Noises. https://arxiv.org/abs/1707.07824

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