A limit theorem of nonlinear filtering for multiscale McKean-Vlasov stochastic systems
Probability
2023-11-28 v1
Abstract
The work concerns about multiscale McKean-Vlasov stochastic systems. First of all, we prove an average principle for these systems in the 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 sense.
Keywords
Cite
@article{arxiv.2311.14973,
title = {A limit theorem of nonlinear filtering for multiscale McKean-Vlasov stochastic systems},
author = {Huijie Qiao and Shengqing Zhu},
journal= {arXiv preprint arXiv:2311.14973},
year = {2023}
}
Comments
14 pages