Finite-dimensional solutions of a modified Zakai equations

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26 Taylor Street, Millburn, NJ 07041, United States ^{[1
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Math Control Signals Syst | / 4卷 / 341-351期

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Control nonlinearities - Integral equations - Kalman filtering - Problem solving - Sensitivity analysis;

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摘要：

In risk-sensitive control a modified Zakai equation arises which includes an extra term related to the exponential running cost. We show that a wide class of finite-dimensional solutions related to the Benes filter is possible as long as nonlinearities in the drift are canceled in an appropriate way by terms in the running cost.

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