Filtering and Control with Information Increasing

Jean-David Benarous, Laurent Mazliak () and Richard Rouge
Additional contact information
Jean-David Benarous: Universite´ Paris VI
Laurent Mazliak: Universite´ Paris VI
Richard Rouge: Universite´ Paris VI

Methodology and Computing in Applied Probability, 2000, vol. 2, issue 2, 123-135

Abstract: Abstract In this paper, we consider a filtering problem where the observation filtration is enlarged with a future information. In the linear case, we obtain the filter equations and study the associated linear regulator problem.

Keywords: filtering; enlargement of filtration; linear regulator; linear stochastic control (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1023/A:1010063405344 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:2:y:2000:i:2:d:10.1023_a:1010063405344

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1023/A:1010063405344

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().