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Filtering and Control with Information Increasing |
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| Authors: | Benarous Jean-David Mazliak Laurent Rouge Richard |
| Affiliation: | (1) Laboratoire de Probabilites, Universite´ Paris VI, 75252 Paris Cx 05, France;(2) Laboratoire de Probabilites, Universite´ Paris VI, 75252 Paris Cx 05, France |
| 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. |
| Keywords: | filtering enlargement of filtration linear regulator linear stochastic control |
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