Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations
Probability
2023-08-15 v1
Abstract
In this paper, we study large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations. First of all, we establish the large deviation principle for the space-distribution dependent Zakai equation by a weak convergence approach. Then based on the obtained result and the relationship between the space-distribution dependent Zakai equation and the space-distribution dependent Kushner-Stratonovich equation, the large deviation principle for the latter is proved.
Keywords
Cite
@article{arxiv.2308.06858,
title = {Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations},
author = {Huijie Qiao and Shengqing Zhu},
journal= {arXiv preprint arXiv:2308.06858},
year = {2023}
}
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16 pages