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Filtering and Control with Information Increasing

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Abstract

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.

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Authors and Affiliations

  1. Laboratoire de Probabilites, Universite´ Paris VI, 75252, Paris Cx 05, France

    Jean-David Benarous & Richard Rouge

  2. Laboratoire de Probabilites, Universite´ Paris VI, 75252, Paris Cx 05, France

    Laurent Mazliak

Authors
  1. Jean-David Benarous
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  2. Laurent Mazliak
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  3. Richard Rouge
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Benarous, JD., Mazliak, L. & Rouge, R. Filtering and Control with Information Increasing. Methodology and Computing in Applied Probability 2, 123–135 (2000). https://doi.org/10.1023/A:1010063405344

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  • DOI: https://doi.org/10.1023/A:1010063405344

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