{"paper":{"title":"Dimensional reduction in nonlinear filtering: A homogenization approach","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.CO"],"primary_cat":"math.PR","authors_text":"Hoong C. Yeong, Nicolas Perkowski, N. Sri Namachchivaya, Peter Imkeller","submitted_at":"2011-12-13T18:07:19Z","abstract_excerpt":"We propose a homogenized filter for multiscale signals, which allows us to reduce the dimension of the system. We prove that the nonlinear filter converges to our homogenized filter with rate $\\sqrt{\\varepsilon}$. This is achieved by a suitable asymptotic expansion of the dual of the Zakai equation, and by probabilistically representing the correction terms with the help of BDSDEs."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1112.2986","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}