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

2023/08/13 by Qiao, Huijie, Zhu, Shengqing
#60G35 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2308.06858

Abstract

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.

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