A filtering problem with uncertainty in observation
From MaRDI portal
Publication:2303939
DOI10.1016/j.sysconle.2019.104589zbMath1433.93138arXiv1907.01550OpenAlexW2990959136WikidataQ126670934 ScholiaQ126670934MaRDI QIDQ2303939
Chuiliu Kong, Shaolin Ji, Chuanfeng Sun
Publication date: 6 March 2020
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.01550
Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41)
Related Items (3)
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Continuous-time stochastic control and optimization with financial applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Utility maximization with partial information
- The least squares estimator of random variables under sublinear expectations
- From Hahn--Banach to monotonicity
- Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems
- Statistical decision functions which minimize the maximum risk
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- Parameter Uncertainty in the Kalman--Bucy Filter
- Backward Stochastic Differential Equations
- Mean‐Variance Portfolio Selection under Partial Information
- Ambiguity, Risk, and Asset Returns in Continuous Time
This page was built for publication: A filtering problem with uncertainty in observation
