Abstract

In this article, we study a continuous time optimal filter and its various numerical approximations. This filter arises in an optimal allocation problem in the particular context of a non-stationary economy. We analyse the rates of convergence of the approximations of the filter when the model is misspecified and when the observations can only be made at discrete times. We give bounds that are uniform in time. Numerical results are presented.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.