Filtering and Control with Information Increasing

被引：2

作者：

Jean-David Benarous

Laurent Mazliak

Richard Rouge

机构：

[1] Universite´ Paris VI,Laboratoire de Probabilites

[2] Universite´ Paris VI,Laboratoire de Probabilites

来源：

Methodology And Computing In Applied Probability | 2000年 / 2卷 / 2期

关键词：

filtering; enlargement of filtration; linear regulator; linear stochastic control;

D O I：

10.1023/A:1010063405344

中图分类号：

学科分类号：

摘要：

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.

引用

页码：123 / 135

页数：12