Robust hidden Markov LQG problems

DOI10.1016/j.jedc.2010.05.004zbMath1231.91037OpenAlexW2044046220MaRDI QIDQ602973

Lars Peter Hansen, Ricardo Mayer, Thomas J. Sargent

Publication date: 5 November 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.05.004

zbMATH Keywords

entropyrobustnessKalman filterhidden Markov modelsmisspecificationcertainty equivalence

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Discrete-time games (91A50) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Decision theory for games (91A35)

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