A Nash equilibrium filter |
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| Authors: | Robert J Elliott |
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| Institution: | 1. School of Commerce, University of Adelaide, Adelaide, SA, Australia;2. Haskayne School of Business, University of Calgary, Calgary, Alberta, Canadarelliott@ucalgary.ca |
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| Abstract: | The Wonham filter, which estimates a Markov chain observed in Brownian noise, is considered. However, the parameters of the observation process are not known. Maximizing the un-normalized probabilities of the Zakai equation over the parameters leads to a Nash equilibrium whose solution is discussed using the stochastic control results of Peng and Yong and Zhou. |
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| Keywords: | Markov chain filter Nash equilibrium maximum principle adjoint process |
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