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Filtering and Control with Information Increasing

Author

Listed:
  • Jean-David Benarous

    (Universite´ Paris VI)

  • Laurent Mazliak

    (Universite´ Paris VI)

  • Richard Rouge

    (Universite´ Paris VI)

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.

Suggested Citation

  • Jean-David Benarous & Laurent Mazliak & Richard Rouge, 2000. "Filtering and Control with Information Increasing," Methodology and Computing in Applied Probability, Springer, vol. 2(2), pages 123-135, August.
    • Handle: RePEc:spr:metcap:v:2:y:2000:i:2:d:10.1023_a:1010063405344
    DOI: 10.1023/A:1010063405344
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