Convergence of Nonlinear Filtering for Stochastic Dynamical Systems with Lévy Noises

Abstract: We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly, convergence of the corresponding nonlinear filtering to the homogenized filtering is shown by a weak convergence technique. Finally, we give an example to explain our result.