arXivDaily arXiv每日学术速递 周一至周五更新
arXiv周末暂无论文更新,休息一下吧,周末愉快~~
arXiv 2011.12801math.PR
收藏

Quantitative Convergence of the Filter Solution for Multiple Timescale Nonlinear Systems with Coarse-Grain Correlated Noise

Ryne Beeson, N. Sri Namachchivaya, Nicolas Perkowski

英文摘要:

In this paper we prove a rate of convergence for the continuous time filtering solution of a multiple timescale correlated nonlinear system to a lower dimensional filtering equation in the limit of large timescale separation. Correlation is assumed to occur between the slow signal and observation processes. Convergence is almost sure in the weak topology. An asymptotic expansion of the dual process for the solution to the Zakai equation, and probabilistic representation using backward doubly stochastic differential equations is leveraged to prove the result.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑