Stochastic filtering under model ambiguity
The filtering (estimation) problem for systems described by stochastic differential equations has been studied extensively since the principal works of \textit{R. L. Stratonovich} [Teor. Veroyatn. Primen. 5, 172--195 (1960; Zbl 0094.13101)] and \textit{H. J. Kushner} [J. Differ. Equations 3, 179--190 (1967; Zbl 0158.16801)]. The optimal filtering equation is a non-linear stochastic partial differential equation (SPDE), which is usually called the Kushner--Stratonovich equation or the Kushner--FKK equation. The developed classical filtering (estimation) methods are not directly applicable in practice since the exact spectral structure of both the signal and observation processes is not usually available. Therefore, it is reasonable to consider the estimates, called minimax-robust, which minimize the maximum of the errors for all spectral measures from a given set of admissible spectral measures simultaneously. The authors of this article investigate the filtering problem under model uncertainty for the model with real-valued signal and observation processes described by the equations \[ \begin{cases} dX_t=b(X_t)dt+\sigma(X_t)dW_t,\quad &X_0=x,\\ dY_t=h(X_t)dt+dB_t,\quad &Y_0=0, \end{cases} \] where the coefficients \(b,\sigma,h\) are continuous real functions, \((W_t,B_t)\) is a 2-dimensional standard Brownian motion under probability measure \(P\in\mathcal P\). The probability measure \(P\) serves as an evaluation criterion for the signal process observed by external observers. The probability measure set \(\mathcal P\) is considered to encompass all evaluation criteria with the ambiguity parameters \(\theta\in\Theta\). The estimate of the signal process is obtained by minimizing the squared error in the worst-case scenario \[\min_{\xi}\max_{P\in\mathcal P} \mathbb E^P[|X_t-\xi|^2],\] where \(\mathbb E^P\) is the expectation with respect to the probability measure \(P\), and \(\xi\) is over all \(\mathcal G\)-measurable random variables. Here \(\mathcal{G}\equiv\sigma (Y_s:s\leq t)\). The authors start with proving the existence of the optimal control that minimizes the error under the most unfavorable evaluation criteria, relying on partially observable information. Then, by utilizing the mini-max theorem, they interchanged the order of extremum problems and characterized the optimal control. The most favorable evaluation criteria, namely, the optimal probability measure is described. For more related results and references see [\textit{S. A. Kassam} and \textit{H. V. Poor}, Proc. IEEE 73, No. 3, 433--481 (1985; Zbl 0569.62084); \textit{M. Moklyachuk}, ``Minimax-robust estimation problems for stationary stochastic sequences, Stat. Optim. Inf. Comput. 3, No. 4, 348--419 (2015); \textit{M. Luz} and \textit{M. Moklyachuk}, Estimation of stochastic processes with stationary increments and cointegrated sequences. London: ISTE; Hoboken, NJ: John Wiley \& Sons (2019; Zbl 1430.62007)].
- A filtering problem with uncertainty in observation
- Minimax linear estimation in generalized uncertain-stochastic system. II: Minimax filtering in dynamic systems described by stochastic differential equations with measure
- Minimax filtering in linear stochastic uncertain discrete-continuous systems
- On the stochastic differential equations of filtering theory
- Kalman-Bucy filtering and minimum mean square estimator under uncertainty
- A PrioriOpen Loop Optimal Control of Continuous Time Stochastic Systems†
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
- A maximum principle for partial information backward stochastic control problems with applications
- A Maximum Principle for Stochastic Control with Partial Information
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Ambiguous volatility, possibility and utility in continuous time
- An introduction to optimal control of FBSDE with incomplete information
- An introduction to stochastic filtering theory.
- Continuous-time stochastic control and optimization with financial applications
- Dynamical equations for optimal nonlinear filtering
- Estimation of Stochastic Systems: Arbitrary System Process with Additive White Noise Observation Errors
- From Hahn--Banach to monotonicity
- Fundamentals of stochastic filtering
- scientific article; zbMATH DE number 3153564 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- Large deviation principle for diffusion processes under a sublinear expectation
- Linear quadratic stochastic differential games: open-loop and closed-loop saddle points
- Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
- Mean-variance portfolio selection for partially observed point processes
- Mean‐Variance Portfolio Selection under Partial Information
- On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory
- On the optimal filtering of diffusion processes
- On uniqueness of solutions for the stochastic differential equations of nonlinear filtering
- Optimal premium policy of an insurance firm: full and partial information
- Optimal trading strategy for an investor: the case of partial information
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Stochastic differential equations for the non linear filtering problem
- Stochastic Differential Equations Occurring in the Estimation of Continuous Parameter Stochastic Processes
- Stochastic maximum principle for weighted mean-field system
- The relaxed investor and parameter uncertainty
This page was built for publication: Stochastic filtering under model ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6180475)
