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Charalambous, Charalambos D., 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: | 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 |
| Related URLs: | |
| URI: | https://mu.eprints-hosting.org/id/eprint/14405 |
| 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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