Pathwise stochastic control with applications to robust filtering

DOI10.1214/19-AAP1558zbMath1471.93265arXiv1902.05434MaRDI QIDQ2657939

Samuel N. Cohen, Andrew L. Allan

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.05434

zbMATH Keywords

stochastic optimal controlstochastic filteringHJB rough equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Robust filtering and propagation of uncertainty in hidden Markov models

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