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arXiv · 2204.01226

Stochastic filtering under model ambiguity

Jiaqi Zhang·Jie Xiong
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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.

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Jiaqi Zhang, Jie Xiong. 2022-04-04. Stochastic filtering under model ambiguity. https://arxiv.org/abs/2204.01226

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