A limit theorem of nonlinear filtering for multiscale McKean-Vlasov stochastic systems

Huijie Qiao; Shengqing Zhu

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arXiv · 2311.14973

A limit theorem of nonlinear filtering for multiscale McKean-Vlasov stochastic systems

Huijie Qiao·Shengqing Zhu

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Abstract

The work concerns about multiscale McKean-Vlasov stochastic systems. First of all, we prove an average principle for these systems in the $L^2$ sense. Moreover, a convergence rate is presented. Then we define the nonlinear filtering of these systems and establish a limit theorem about nonlinear filtering of them in the $L^2$ sense.

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Huijie Qiao, Shengqing Zhu. 2023-11-25. A limit theorem of nonlinear filtering for multiscale McKean-Vlasov stochastic systems. https://arxiv.org/abs/2311.14973

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