Risk sensitive nonlinear filtering with correlated noises

被引：1
|
作者：
Florchinger, P
机构：
[1] 23 Allée des Oeillets
来源：
APPLIED MATHEMATICS LETTERS | 2000年 / 13卷 / 01期
关键词：
stochastic differential equation; stochastic partial differential equation; nonlinear filtering; risk-sensitive filtering;
D O I：
10.1016/S0893-9659(99)00151-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The purpose of this note is to compute risk-sensitive Zakai and Kushne-Stratcnovitch equations for partially observed systems with correlated noises. These equations are explicitly solved in the linear exponential quadratic Gaussian case. (C) 1999 Elsevier Science Ltd. All rights reserved.
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页码：97 / 103
页数：7
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