A Homogenization Approach to Multiscale Filtering

AbstractWe present a homogenized nonlinear filter for multi-timescale systems, which allows the reduction of the dimension of filtering equation. We prove that the actual nonlinear filter converges to our homogenized filter. This is achieved by a suitable asymptotic expansion of the dual of the Zakai equation, and probabilistically representing the correction terms with the help of backward doubly-stochastic differential equations. This homogenized filter provides a rigorous mathematical basis for the development of reduced-dimension nonlinear filters for multiscale systems. A filtering scheme, based on the homogenized filtering equation and the technique of importance sampling, is applied to a chaotic multiscale system in Lingala et al. [1]