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
收藏
页码：1369 / 1387
页数：19
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