DocumentCode
1434306
Title
New finite-dimensional risk-sensitive filters: small noise limits
Author
Charalambous, Charalambos D. ; Dey, Subhrakanti ; Elliott, Robert J.
Author_Institution
Dept. of Electr. Eng., McGill Univ., Montreal, Que., Canada
Volume
43
Issue
10
fYear
1998
fDate
10/1/1998 12:00:00 AM
Firstpage
1424
Lastpage
1429
Abstract
The paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional generalizations of the Benes filters. Specific examples are discussed. The small noise limiting analog is discussed using change of probability measures
Keywords
dynamic programming; filtering theory; minimisation; noise; probability; Benes filters; change of probability measures; continuous-time nonlinear risk-sensitive filters; finite-dimensional risk-sensitive filters; nonlinearities; small noise limits; Control systems; Estimation error; Filtering; Filters; Minimax techniques; Nonlinear control systems; Nonlinear equations; Nonlinear systems; Optimal control; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.720499
Filename
720499
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