On asymptotic stability of continuous-time risk-sensitive filters with respect to initial conditions

DOI10.1016/S0167-6911(00)00030-XMaRDI QIDQ1583076zbMATH OpenOpenAlexFDO

Authors Subhrakanti Dey, Charalambos D. Charalambous

Publication date 26 October 2000

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6911(00)00030-x, http://mural.maynoothuniversity.ie/14409/1/On%20asymptotic.pdf

zbMATH Keywords

forgetting initial conditionsmean square convergencenon-Gaussian densityRiccati equationrisk-sensitive filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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Cites work

• A risk-sensitive maximum principle: the case of imperfect state observation
• Asymptotic stability of beneš filters
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Discrete-time filtering for linear systems with non-Gaussian initial conditions: asymptotic behavior of the difference between the MMSE and LMSE estimates
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
• Exponential stability for nonlinear filtering
• Exponential stability of discrete-time filters for bounded observation noise
• Filtering and smoothing in an H/sup infinity / setting
• Filtering formulae for partially observed linear systems with non-gaussian initial conditions
• General finite-dimensional risk-sensitive problems and small noise limits
• scientific article; zbMATH DE number 17496 (Why is no real title available?)
• scientific article; zbMATH DE number 49106 (Why is no real title available?)
• Lyapunov Exponents for Finite State Nonlinear Filtering
• New finite-dimensional risk-sensitive filters: small noise limits
• Risk-sensitive control and dynamic games for partially observed discrete-time nonlinear systems
• Risk-sensitive filtering and smoothing for hidden Markov models
• Risk-sensitive filtering and smoothing via reference probability methods
• Risk-sensitive generalizations of minimum variance estimation and control
• Risk-sensitive linear/quadratic/gaussian control
• Stability of linear systems: Some aspects of kinematic similarity
• The role of information state and adjoint in relating nonlinear output feedback risk-sensitive control and dynamic games

Cited in

(3)

• Risk sensitive identification of linear stochastic systems
• Stability of the optimal filter in continuous time: beyond the Beneš filter
• Practical stability of approximating discrete-time filters with respect to model mismatch

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