Risk sensitive and LEG filtering problems are not equivalent
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Publication:709275
DOI10.1016/j.sysconle.2010.06.009zbMath1198.93225OpenAlexW1998243650MaRDI QIDQ709275
M. Viot, Alain Le Breton, Marina Kleptsyna
Publication date: 18 October 2010
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2010.06.009
Filtering in stochastic control theory (93E11) Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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- On the Linear-Exponential Filtering Problem for General Gaussian Processes
- Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
- A risk-sensitive maximum principle: the case of imperfect state observation
- New finite-dimensional risk-sensitive filters: small noise limits
- Robustness and risk-sensitive filtering
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