Speaker
Hasnaa Zidani
(INSA Rouen Normandie)
Description
We study the estimation of the state of a non-smooth dynamics constrained to a bounded convex domain, given noisy observations.
The associated value function turns out to be a viscosity sub-solution of an HJB equation with one Neumann-type boundary condition,
and a super-solution with a different one — an asymmetry caused by the loss of time-reversibility of sweeping processes, which obstructs uniqueness in general.
We recover uniqueness under an inward-pointing drift assumption. We then show, by duality rather than comparison, that this value function arises in the small-noise limit of the corresponding reflected filtering problem, via a Laplace principle.
Author
Hasnaa Zidani
(INSA Rouen Normandie)