Journal article
Pathwise stochastic control with applications to robust filtering
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, 409.6KB, Terms of use)
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- Publisher copy:
- 10.1214/19-AAP1558
Authors
- Publisher:
- Institute of Mathematical Statistics
- Journal:
- Annals of Applied Probability More from this journal
- Volume:
- 30
- Issue:
- 5
- Pages:
- 2274-2310
- Publication date:
- 2020-09-15
- Acceptance date:
- 2019-12-20
- DOI:
- ISSN:
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1050-5164
- Language:
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English
- Keywords:
- Pubs id:
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pubs:974782
- UUID:
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uuid:4f4d831e-1d9e-4e44-91d7-2e985ac0ae25
- Local pid:
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pubs:974782
- Source identifiers:
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974782
- Deposit date:
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2019-12-20
Terms of use
- Copyright holder:
- Institute of Mathematical Statistics
- Copyright date:
- 2020
- Rights statement:
- © Institute of Mathematical Statistics, 2020.
- Notes:
- This is the publisher's version of the article. The final version is available online from the Institute of Mathematical Statistics at: https://doi.org/10.1214/19-AAP1558
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