A Nash equilibrium filter

被引：0
|
作者：
Elliott, Robert J. [1 ,2 ]
机构：
[1] Univ Adelaide, Sch Commerce, Adelaide, SA, Australia
[2] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2017年 / 35卷 / 04期
关键词：
Markov chain filter; Nash equilibrium; maximum principle; adjoint process;
D O I：
10.1080/07362994.2017.1295871
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The Wonham filter, which estimates a Markov chain observed in Brownian noise, is considered. However, the parameters of the observation process are not known. Maximizing the un-normalized probabilities of the Zakai equation over the parameters leads to a Nash equilibrium whose solution is discussed using the stochastic control results of Peng and Yong and Zhou.
引用
收藏
页码：633 / 644
页数：12
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