Risk sensitive nonlinear filtering with correlated noises (Q1972453)
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English | Risk sensitive nonlinear filtering with correlated noises |
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Risk sensitive nonlinear filtering with correlated noises (English)
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11 April 2000
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This paper deals with nonlinear filtering with correlated noise. For the signal-observation pair with correlated noise the author introduced the exponential process of the signal and considered its filtering with respect to the observation. As the filtering equation, he computed the risk-sensitive Zakai and Kushner-Stratonovitch equations. Moreover, an explicit solution is given in the linear exponential quadratic Gaussian case.
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risk-sensitive filtering
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nonlinear filtering
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correlated noise
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