Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise-Reference-Cited by-同舟云学术

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Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise

Published:2020-01 Issue:1 Volume:130 Page:203-231
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Maroulas Vasileios^ORCID,Pan Xiaoyang^ORCID,Xiong Jie

Funder

National Science Foundation

National Natural Science Foundation of China-Yunnan Joint Fund

Army Research Office

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference36 articles.

1. Adaptive meshfree backward SDE filter;Bao;SIAM J. Sci. Comput.,2017

2. Large deviations for neutral functional SDEs with jumps;Bao;Stochastics,2015

3. Large deviations for stochastic partial differential equations driven by a Poisson random measure;Budhiraja;Stochastic Process. Appl.,2013

4. Variational representations for continuous time processes;Budhiraja;Ann. Inst. Henri Poincaré Probab. Stat.,2011

5. Large deviations of mean-field stochastic differential equations with jumps;Cai;Statist. Probab. Lett.,2015

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1. A score-based filter for nonlinear data assimilation;Journal of Computational Physics;2024-10

2. Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations;Stochastics;2023-11-15

3. On partially observed jump diffusions II: the filtering density;Stochastics and Partial Differential Equations: Analysis and Computations;2023-10-03

4. Some Large Deviation Asymptotics in Small Noise Filtering Problems;SIAM Journal on Control and Optimization;2022-02

5. Nonlinear filtering of stochastic differential equations with correlated Lévy noises;Stochastics;2021-01-11

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