New finite-dimensional risk-sensitive filters: Small noise limits
AuthorCharalambous, Charalambos D.
Elliott, R. J.
SourceIEEE Transactions on Automatic Control
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This 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.