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arXiv:1810.10370 [math.PR]AbstractReferencesReviewsResources

Effective Filtering for Multiscale Stochastic Dynamical Systems driven by Lévy processes

Huijie Qiao

Published 2018-10-23Version 1

In the paper, we consider multiscale stochastic dynamical systems driven by L\'evy processes. Firstly, it is proved that these systems can be approximated by low-dimensional systems on random invariant manifolds. Secondly, we establish that nonlinear filterings of origin stochastic dynamical systems also can be approximated by that of reduced low-dimensional systems. Finally, by an example we explain our result.

Comments: 17 pages. arXiv admin note: text overlap with arXiv:1711.05377
Categories: math.PR
Subjects: 60H10, 37D10, 70K70, 60G51
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