Optimal Filtering for Interacting Particle Systems
Optimization and Control
2024-09-04 v1 Probability
Abstract
In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus, we construct the differential equation of the covariance process and transform the filter problem to an optimal control problem. Finally we give the necessary condition that the coefficient of the optimal filter should satisfy
Keywords
Cite
@article{arxiv.2409.00126,
title = {Optimal Filtering for Interacting Particle Systems},
author = {Andrey Dorogovtsev and Yuecai Han and Kateryna Hlyniana and Yuhang Li},
journal= {arXiv preprint arXiv:2409.00126},
year = {2024}
}