Strong approximation of nonlinear filtering for multiscale McKean-Vlasov stochastic systems

Abstract: This work concerns the nonlinear filtering problem of multiscale McKean-Vlasov stochastic systems where the whole systems depend on distributions of fast components. First of all, we prove that the slow component of the original system converges to an average system in the $L^{2p}$ ($p\geqslant 1$) sense. Moreover, we obtain the strong convergence order for the $L^2$ case. Then, given an observation process which depends on the slow component and its distribution, we show that the nonlinear filtering of the slow component and its distribution also converges to that of the average system in the $L^{q}$ ($p\geq 8, 1\leq q\leq \frac{p}{8}$) sense.