New Finite-Dimensional Risk-Sensitive Filters: Small Noise Limits - Automatic Control, IEEE Transactions on

نویسندگان

  • Charalambos D. Charalambous
  • Subhrakanti Dey
  • Robert J. Elliott
  • C. D. Charalambous
چکیده

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 finitedimensional generalizations of the Benes filters. Specific examples are discussed. The small noise limiting analog is discussed using change of probability measures.

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تاریخ انتشار 1998