Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty

DOI10.1137/20M137954XzbMath1470.93156arXiv2004.09202OpenAlexW3183297152MaRDI QIDQ5009772

Chuiliu Kong, Ji-Feng Zhang, Shaolin Ji, Chuanfeng Sun

Publication date: 6 August 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.09202

zbMATH Keywords

minimax theorembackward stochastic differential equationKalman-Bucy filteringconvex operatordrift uncertaintyminimum mean square estimator

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wonham filter under uncertainty: A game-theoretic approach
• Representation of the penalty term of dynamic concave utilities
• Minimax a posteriori estimation of the Markov processes with finite state spaces
• Robust \(H_{\infty }\)-filter design for neutral stochastic uncertain systems with time-varying delay
• Continuous-time stochastic control and optimization with financial applications
• On convex risk measures on \(L^{p}\)-spaces
• Utility maximization with partial information
• A robust Kalman-Bucy filtering problem
• A filtering problem with uncertainty in observation
• The least squares estimator of random variables under sublinear expectations
• Ambiguous volatility, possibility and utility in continuous time
• From Hahn--Banach to monotonicity
• Stochastic processes and filtering theory
• Introduction to stochastic control theory
• CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• An RKHS approach to robust L/sup 2/ estimation and signal detection
• Filtering and smoothing in an H/sup infinity / setting
• A solution of the filtering and smoothing problems for uncertain-stochastic linear dynamic systems
• Backward Stochastic Differential Equations in Finance
• The minimum mean square estimator of integrable variables under sublinear operators
• H_∞filter design for continuous-time systems with quantised signals
• Parameter Uncertainty in the Kalman--Bucy Filter
• Mean‐Variance Portfolio Selection under Partial Information
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Minimax Theorems
• Stochastic finance. An introduction in discrete time

This page was built for publication: Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty