Charalambous, Charalambos D. and Dey, Subhrakanti and Elliott, Robert J. (1998) New Finite-Dimensional Risk-Sensitive Filters: Small Noise Limits. IEEE Transactions on Automatic Control, 43 (10). pp. 1424-1429. ISSN 0018-9286

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Abstract

This paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional generalizations of the Benes filters. Specific examples are discussed. The small noise limiting analog is discussed using change of probability measures.

Item Type:	Article
Keywords:	Filtering; finite-dimensional; risk-sensitive;
Academic Unit:	Faculty of Science and Engineering > Electronic Engineering Faculty of Science and Engineering > Research Institutes > Hamilton Institute
Item ID:	14405
Identification Number:	https://doi.org/10.1109/9.720499
Depositing User:	Subhrakanti Dey
Date Deposited:	10 May 2021 14:25
Journal or Publication Title:	IEEE Transactions on Automatic Control
Publisher:	IEEE
Refereed:	Yes
URI:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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