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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Funding Project：National Natural Science Foundation of China[11971263]
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KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692
Authors:
Ji, Shaolin
;
Kong, Chuiliu
;
Sun, Chuanfeng
;
Zhang, Ji-Feng
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Submit date：2022/04/02
Kalman-Bucy filtering
minimum mean square estimator
drift uncertainty
convex operator
minimax theorem
backward stochastic differential equation
