On the anticipative nonlinear filtering problem and its stability

DOI10.1007/S00245-019-09649-ZMaRDI QIDQ2045123zbMATH OpenOpenAlexWikidataFDO

Authors S. Tindel, Yanghui Liu, Guang Lin

Publication date 11 August 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.08168

zbMATH Keywords

anticipative systemsasymptotic stabilitynonlinear filteringVolterra-type integral equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stability theory for integral equations (45M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In this paper, we consider an anticipative nonlinear filtering problem, in which the observation noise is correlated with the past of the signal. This new signal-observation model has its applications in both finance models with insider trading and in engineering. We derive a new equation for the filter in this context, analyzing both the nonlinear and the linear cases. We also handle the case of a finite filter with Volterra type observation. The performance of our algorithm is presented through numerical experiments.

Recommendations

• An anticipative linear filtering equation
• Nonlinear filtering with degenerate noise
• A nonlinear filtering problem and its applications
• Solution of Filtering Problem with Nonlinear Observations
• Risk sensitive nonlinear filtering with correlated noises

Cites work

• Abstract nonlinear filtering theory in the presence of fractional Brownian motion
• Additional utility of insiders with imperfect dynamical information
• An anticipative linear filtering equation
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• An enlargement of filtration for Brownian motion
• An explicit Floquet-type representation of Riccati aperiodic exponential semigroups
• An introduction to stochastic filtering theory.
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Continuous Auctions and Insider Trading
• Functional Itô calculus, path-dependence and the computation of Greeks
• Functional Itō calculus and stochastic integral representation of martingales
• Genealogies and increasing propagation of chaos for Feynman-Kac and genetic models.
• General approach to filtering with fractional brownian noises — application to linear systems
• scientific article; zbMATH DE number 5871504 (Why is no real title available?)
• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 919360 (Why is no real title available?)
• Kalman filtering. Theory and practice with MATLAB
• Nonlinear Filtering with Fractional Brownian Motion Noise
• On the optimal filtering of diffusion processes
• On the stability of Kalman-Bucy diffusion processes
• Particle representations for a class of nonlinear SPDEs
• Strong Propagations of Chaos in Moran's Type Particle Interpretations of Feynman–Kac Measures
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• Wiener chaos and nonlinear filtering

Cited in

(4)

• An anticipative linear filtering equation
• Optimal control of LQ problem with anticipative partial observations
• Anticipative nonlinear filtering equations affected by observation noises and stability of linear filtering
• -Nash equilibrium of anticipative large-population LQ game with partial observations

This page was built for publication: On the anticipative nonlinear filtering problem and its stability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2045123)