Optimal Filtering for Interacting Particle Systems
Fuente:
arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866929481379217408 |
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| author | Dorogovtsev, Andrey Han, Yuecai Hlyniana, Kateryna Li, Yuhang |
| author_facet | Dorogovtsev, Andrey Han, Yuecai Hlyniana, Kateryna Li, Yuhang |
| contents | In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus, we construct the differential equation of the covariance process and transform the filter problem to an optimal control problem. Finally we give the necessary condition that the coefficient of the optimal filter should satisfy |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_00126 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal Filtering for Interacting Particle Systems Dorogovtsev, Andrey Han, Yuecai Hlyniana, Kateryna Li, Yuhang Optimization and Control Probability In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus, we construct the differential equation of the covariance process and transform the filter problem to an optimal control problem. Finally we give the necessary condition that the coefficient of the optimal filter should satisfy |
| title | Optimal Filtering for Interacting Particle Systems |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2409.00126 |