On the separation of estimation and control in risk-sensitive investment problems under incomplete observation. (English) Zbl 07895465
MSC:
90Bxx
Found 24 Documents (Results 1–24)
Statistical estimation and nonlinear filtering in environmental pollution. (English) Zbl 07839695
MSC:
62Mxx
Projections of SDEs onto submanifolds. (English) Zbl 1535.58016
Reviewer: Feng-Yu Wang (Tianjin)
Variational Gaussian approximation of the Kushner optimal filter. (English) Zbl 1540.62119
Nielsen, Frank (ed.) et al., Geometric science of information. 6th international conference, GSI 2023, St. Malo, France, August 30 – September 1, 2023. Proceedings. Part I. Cham: Springer. Lect. Notes Comput. Sci. 14071, 395-404 (2023).
MSC:
62M20
Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement. (English) Zbl 1510.93327
Optimal approximation of SDEs on submanifolds: the Itô-vector and Itô-jet projections. (English) Zbl 1421.58008
Optimal decoding of dynamic stimuli by heterogeneous populations of spiking neurons: a closed-form approximation. (English) Zbl 1472.92018
MSC:
92B20
Second-order recursive filtering on the rigid-motion Lie group \(\mathrm{SE}_3\) based on nonlinear observations. (English) Zbl 1425.94009
Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric. (English) Zbl 1338.93365
Second order minimum energy filtering on \(\mathrm{SE}_3\) with nonlinear measurement equations. (English) Zbl 1444.68258
Aujol, Jean-François (ed.) et al., Scale space and variational methods in computer vision. 5th international conference, SSVM 2015, Lège-Cap Ferret, France, May 31 – June 4, 2015. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 9087, 397-409 (2015).
A simulation approach to optimal stopping under partial information. (English) Zbl 1191.65006
Reviewer: Vjatscheslav Vasiliev (Tomsk)
Model robustness of finite state nonlinear filtering over the infinite time horizon. (English) Zbl 1126.93055
Specific optimal estimation of special Markov jump processes. (English. Russian original) Zbl 1125.93065
Autom. Remote Control 68, No. 3, 413-429 (2007); translation from Avtom. Telemekh. 68, No. 3, 47-65 (2007).
On the distributional distance between the lognormal LIBOR and swap market models. (English) Zbl 1134.91399
Approximated moment-matching dynamics for basket-options pricing. (English) Zbl 1405.91592
MSC:
91G20
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