Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations

被引：0

作者：

Qiao, Huijie ^{[1
]}

Zhu, Shengqing ^{[1
]}

机构：

[1] Southeast Univ, Sch Math, Nanjing, Peoples R China

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2024年 / 96卷 / 04期

关键词：

McKean-Vlasov stochastic differential equations; the space-distribution dependent Zakai equation; the space-distribution dependent Kushner-Stratonovich equation; large deviation principles;

D O I：

10.1080/17442508.2023.2282160

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：1369 / 1387

页数：19

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