A limit theorem of nonlinear filtering for multiscale McKean–Vlasov stochastic systems
The work concerns about multiscale McKean–Vlasov stochastic systems. First of all, we prove an average principle for these systems in the $L^2$ sense. Moreover, a convergence rate is presented. Then we define the nonlinear filtering of these systems and establish a limit theorem about nonlinear filt...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Académie des sciences
2024-11-01
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| Series: | Comptes Rendus. Mathématique |
| Subjects: | |
| Online Access: | https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.637/ |
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