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• W2921201503 abstract "Abstract In this paper, we focus on the asymptotic behavior of the optimal filter where both signal and observation processes are driven by Levy noises. Indeed, we study large deviations for the case where the signal-to-noise ratio is small by considering weak convergence arguments. To that end, we first prove the uniqueness of the solution of the controlled Zakai and Kushner–Stratonovich equations. For this, we employ a method which transforms the associated equations into SDEs in an appropriate Hilbert space. Next, taking into account the controlled analogue of Zakai and Kushner–Stratonovich equations, respectively, the large deviation principle follows by employing the existence, uniqueness and tightness of the solutions." @default.
• W2921201503 created "2019-03-22" @default.
• W2921201503 creator A5046136636 @default.
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• W2921201503 date "2020-01-01" @default.
• W2921201503 modified "2023-10-17" @default.
• W2921201503 title "Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise" @default.
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• W2921201503 doi "https://doi.org/10.1016/j.spa.2019.02.009" @default.
• W2921201503 hasPublicationYear "2020" @default.
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