Risk-Sensitive Filtering and Smoothing for Continuous-Time Markov Processes

DOI10.1109/TIT.2005.846405zbMATH Open1309.94041MaRDI QIDQ3547342FDOQ3547342

Matthew R. James, W. Paul Malcolm, Robert J. Elliott

Publication date: 21 December 2008

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Recommendations

• Risk-sensitive filtering and smoothing for hidden Markov models
• Risk-sensitive filtering and smoothing via reference probability methods
• Risk-sensitive filtering for jump Markov linear systems
• Discrete–time nonlinear filtering with marked point process observations: ii. risk–sensitive filters
• Finite-dimensional risk-sensitive filters and smoothers for discrete-time nonlinear systems
• Filtering of continuous-time Markov chains
• Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems
• Risk-sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation
• Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Cited In (4)

• ROBUST FILTERING AND DETECTION OF AN INSURANCE MODEL
• Title not available (Why is that?)
• Properties of risk-sensitive filters/estimators
• Risk sensitive filtering with Poisson process observations

This page was built for publication: Risk-Sensitive Filtering and Smoothing for Continuous-Time Markov Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3547342)