论文标题
多尺度McKean-Vlasov随机系统的非线性过滤的弱近似
Weak approximation of nonlinear filtering for multiscale McKean-Vlasov stochastic systems
论文作者
论文摘要
这项工作涉及一类McKean-Vlasov随机系统的非线性过滤问题。首先，通过泊松方程，我们证明了多尺度系统的慢零件解会弱收敛到平均方程的解。然后，我们定义了原点多尺度系统和平均方程的非线性滤波，并且再次通过同一泊松方程式显示了原点多尺度系统的慢零件与平均方程的非线性滤波之间的弱近似。
The work concerns the nonlinear filtering problem for a class of multiscale McKean-Vlasov stochastic systems. First of all, by a Poisson equation we prove that the solution of the slow part for a multiscale system weakly converges to the solution of the average equation. Then we define nonlinear filtering of the origin multiscale system and the average equation, and again through the same Poisson equation show the weak approximation between nonlinear filtering of the slow part for the origin multiscale system and that of the average equation.
