About Gaussian filtering problems with general exponential quadratic criteria

Authors M. L. Keptsyna, Alain Le Breton, M. Viot

Publication date 5 February 2009

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Martingales with continuous parameter (60G44)

Abstract: Filtering problems with general exponential quadratic criteria are investigated for Gauss-Markov processes. In this setting, the Linear Exponential Gaussian and Risk-Sensitive filtering problems are solved and it is shown that they may have different solutions.

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