Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
Huijie Qiao · Stochastic Analysis and Applications · 2021
We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. First, we prove that the dimension for the signal system can be reduced by a homogenized approach. Second, 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.