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Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations (2308.06858v1)
Published 13 Aug 2023 in math.PR
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.