Risk sensitive filtering with Poisson process observations

DOI10.1007/S002459910020MaRDI QIDQ1568193zbMATH OpenOpenAlexFDO

Authors N. Delaunay

Publication date 18 December 2000

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002459910020

zbMATH Keywords

robustnesspoint processesfilteringmartingale calculuschange measurerisk sensitive

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

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Cited in

(4)

• Nonlinear filtering for jump-diffusions
• Multivariate feedback particle filter rederived from the splitting-up scheme
• Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems
• Properties of risk-sensitive filters/estimators

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