New Finite-Dimensional Risk-Sensitive Filters: Small Noise Limits - Automatic Control, IEEE Transactions on
نویسندگان
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.
منابع مشابه
New Finite-Dimensional Risk-Sensitive Filters: Small-Noise Limits
This paper is concerned with continuous-time nonlinear risk-sensitive lters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these lters are nite-dimensional, generalizations of the Benes 1] lters. Examples are given for rational and exponential nonlinearities. The small-noise limiting analog is discussed.
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