Title of article
Risk sensitive nonlinear filtering with correlated noises Original Research Article
Author/Authors
P. Florchinger، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
7
From page
97
To page
103
Abstract
The purpose of this note is to compute risk-sensitive Zakai and Kushne-Stratonovitch equations for partially observed systems with correlated noises. These equations are explicitly solved in the linear exponential quadratic Gaussian case.
Keywords
Stochastic partial differential equation , Stochastic differential equation , Risk-sensitive filtering , Nonlinear filtering
Journal title
Applied Mathematics Letters
Serial Year
2000
Journal title
Applied Mathematics Letters
Record number
896999
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