@inproceedings{9d6ed5575bd244909fbf1d6eb05678b8,
title = "A Dynamic Programming Formulation for the Nonlinear Filter",
abstract = "This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The solution is obtained via an application of the maximum principle (MP). In the present paper, a dynamic programming (DP) principle is presented for a special class of BSDE-constrained stochastic optimal control problems. The principle is applied to derive the solution of the nonlinear filtering problem.",
author = "Kim, {Jin Won} and Mehta, {Prashant G.}",
note = "Publisher Copyright: {\textcopyright} 2021 IEEE.; 7th Indian Control Conference, ICC 2021 ; Conference date: 20-12-2021 Through 22-12-2021",
year = "2021",
doi = "10.1109/ICC54714.2021.9703115",
language = "English (US)",
series = "2021 7th Indian Control Conference, ICC 2021 - Proceedings",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "313--316",
booktitle = "2021 7th Indian Control Conference, ICC 2021 - Proceedings",
address = "United States",
}