Stochastic filtering under model ambiguity
Optimization and Control
2023-08-23 v2 Probability
Abstract
In this paper, we study a non-linear filtering problem in the presence of signal model uncertainty. The model ambiguity is characterized by a class of probability measures from which the true one is taken. After interchanging the order of extremum problems by using the mini-max theorem, we find that the uncertain filtering problem can be converted to a weighted conditional mean-field optimal control problem. Further, we characterize the ambiguity filter and prove its unique existence.
Cite
@article{arxiv.2204.01226,
title = {Stochastic filtering under model ambiguity},
author = {Jiaqi Zhang and Jie Xiong},
journal= {arXiv preprint arXiv:2204.01226},
year = {2023}
}