Stochastic filtering under model ambiguity
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Publication:6180475
DOI10.1016/J.JMAA.2023.128020arXiv2204.01226MaRDI QIDQ6180475FDOQ6180475
Authors:
Publication date: 19 January 2024
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Abstract: In this paper, we study a non-linear filtering problem when the signal model is uncertain. The model ambiguity is characterized by a class of probability measures from which the true probability measure is taken. The optimal filter can be estimated by converting to a conditional mean field optimal control problem. In the first part of this article, we develop a general form stochastic maximum principle for a conditional mean-field type model driven by a forward and backward control system. In the second part, we characterize the ambiguity filter and prove its existence and uniqueness.
Full work available at URL: https://arxiv.org/abs/2204.01226
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Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Robustness and adaptive procedures (parametric inference) (62F35) Nonlinear systems in control theory (93C10) Mean field games and control (49N80)
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