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

DOI10.1016/S0167-6911(00)00030-XzbMATH Open0985.93056OpenAlexW2026872183MaRDI QIDQ1583076FDOQ1583076

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

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zbMATH Keywords

mean square convergenceRiccati equationforgetting initial conditionsnon-Gaussian densityrisk-sensitive filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Cites Work

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• Filtering and smoothing in an H/sup infinity / setting
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• 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
• Practical stability of approximating discrete-time filters with respect to model mismatch
• Stability of the optimal filter in continuous time: beyond the Beneš filter

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