Finite-dimensional solutions of a modified Zakai equation (Q1356627)
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Finite-dimensional solutions of a modified Zakai equation (English)
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13 November 1997
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This paper deals with modified Zakai equations for controlled diffusions with nonlinear drift terms. Using the exponential risk-sensitive control and the Beneš filter technique, the authors cancelled the nonlinearities by suitable terms in the running cost. Thus they showed that there is a wide class of modified Zakai equations which give rise to a finite-dimensional solution.
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finite-dimensional filters
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Zakai equations
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nonlinear drift
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exponential risk-sensitive control
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