Robust filtering and propagation of uncertainty in hidden Markov models
DOI10.1214/21-EJP633zbMath1484.60049arXiv2005.04982OpenAlexW3165456551MaRDI QIDQ2042836
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.04982
stochastic optimal controlhidden Markov modelfilteringparameter uncertaintyrough pathspathwise optimal controlrough equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Rough partial differential equations (60L50)
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