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Stochastic filtering under model ambiguity

  • Speaker: Jiaqi Zhang (SUSTech)

  • Time: Jan 19, 2024, 13:00-14:00

  • Location: M5024, College of Science Bldg.

Abstract: In this seminar, 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.

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