南方科技大学知识苑(SUSTech KC): Stochastic filtering under model ambiguity

题名	Stochastic filtering under model ambiguity
作者	Zhang，Jiaqi1,2 ; Xiong，Jie2,3
通讯作者	Zhang，Jiaqi
发表日期	2024-05-01
DOI	10.1016/j.jmaa.2023.128020
发表期刊	Journal of Mathematical Analysis and Applications 影响因子和分区
ISSN	0022-247X
EISSN	1096-0813
卷号	533 期号:1
摘要	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 min-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.
关键词	Ambiguity Drift uncertainty Min-max theorem Nonlinear filtering Weighted mean-field system
相关链接	[Scopus记录]
收录类别	SCI
语种	英语
学校署名	通讯
ESI学科分类	MATHEMATICS
Scopus记录号	2-s2.0-85179785171
来源库	Scopus
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/669611
专题	理学院_数学系深圳国际数学中心（杰曼诺夫数学中心）（筹）
作者单位	1.Department of Mathematics,Harbin Institute of Technology,Harbin,150001,China 2.Department of Mathematics,Southern University of Science and Technology,Shenzhen,518055,China 3.SUSTech International Center for Mathematics,Southern University of Science and Technology,Shenzhen,518055,China
第一作者单位	数学系
通讯作者单位	数学系
推荐引用方式 GB/T 7714	Zhang，Jiaqi,Xiong，Jie. Stochastic filtering under model ambiguity[J]. Journal of Mathematical Analysis and Applications,2024,533(1).
APA	Zhang，Jiaqi,&Xiong，Jie.(2024).Stochastic filtering under model ambiguity.Journal of Mathematical Analysis and Applications,533(1).
MLA	Zhang，Jiaqi,et al."Stochastic filtering under model ambiguity".Journal of Mathematical Analysis and Applications 533.1(2024).