On forward-backward SDE approaches to continuous-time minimum variance estimation

Publication date 25 April 2023

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

Abstract: The work of Kalman and Bucy has established a duality between filtering and optimal estimation in the context of time-continuous linear systems. This duality has recently been extended to time-continuous nonlinear systems in terms of an optimization problem constrained by a backward stochastic partial differential equation. Here we revisit this problem from the perspective of appropriate forward-backward stochastic differential equations. This approach sheds new light on the estimation problem and provides a unifying perspective. It is also demonstrated that certain formulations of the estimation problem lead to deterministic formulations similar to the linear Gaussian case as originally investigated by Kalman and Bucy. Finally, optimal control of partially observed diffusion processes is discussed as an application of the newly proposed estimators.

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