New finite-dimensional risk-sensitive filters: Small-noise limits
Ημερομηνία
1997Εκδότης
IEEESource
Proceedings of the American Control ConferenceProceedings of the American Control Conference
Volume
5Pages
2830-2835Google Scholar check
Keyword(s):
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
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. Examples are given for rational and exponential nonlinearities. The small-noise limiting analog is discussed.