Pathwise stochastic control with applications to robust filtering
dc.contributor.author
Allan, Andrew L.
dc.contributor.author
Cohen, Samuel N.
dc.date.accessioned
2020-10-02T09:23:28Z
dc.date.available
2020-10-01T07:12:49Z
dc.date.available
2020-10-02T09:23:28Z
dc.date.issued
2020-10
dc.identifier.issn
2168-8737
dc.identifier.issn
1050-5164
dc.identifier.other
10.1214/19-AAP1558
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/443785
dc.description.abstract
We study the problem of pathwise stochastic optimal control, where the optimization is performed for each fixed realisation of the driving noise, by phrasing the problem in terms of the optimal control of rough differential equations. We investigate the degeneracy phenomenon induced by directly controlling the coefficient of the noise term, and propose a simple procedure to resolve this degeneracy whilst retaining dynamic programming As an application, we use pathwise stochastic control in the context of stochastic filtering to construct filters which are robust to parameter uncertainty, demonstrating an original application of rough path theory to statistics.
en_US
dc.language.iso
en
en_US
dc.publisher
Institute of Mathematical Statistics
en_US
dc.subject
Stochastic control
en_US
dc.subject
rough paths
en_US
dc.subject
rough HJB equation
en_US
dc.subject
stochastic filtering
en_US
dc.subject
parameter uncertainty
en_US
dc.title
Pathwise stochastic control with applications to robust filtering
en_US
dc.type
Journal Article
ethz.journal.title
The Annals of Applied Probability
ethz.journal.volume
30
en_US
ethz.journal.issue
5
en_US
ethz.journal.abbreviated
Ann. Appl. Probab.
ethz.pages.start
2274
en_US
ethz.pages.end
2310
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Cleveland, OH
en_US
ethz.publication.status
published
en_US
ethz.date.deposited
2020-10-01T07:13:03Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2020-10-02T09:23:38Z
ethz.rosetta.lastUpdated
2022-03-29T03:16:23Z
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true
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