On the anticipative nonlinear filtering problem and its stability
Probability
2019-02-22 v1 Optimization and Control
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.
Cite
@article{arxiv.1902.08168,
title = {On the anticipative nonlinear filtering problem and its stability},
author = {Guang Lin and Yanghui Liu and Samy Tindel},
journal= {arXiv preprint arXiv:1902.08168},
year = {2019}
}
Comments
8 figures; 21 pages