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dc.contributor.authorCharalambous, Charalambos D.en
dc.contributor.authorElliott, Robert J.en
dc.creatorCharalambous, Charalambos D.en
dc.creatorElliott, Robert J.en
dc.description.abstractThe purpose of this talk is twofold. First, we examine in detail the binary hypothesis decision and/or estimation problem using a risk-sensitive cost criterion, when the state and observation processes are diffusion signals. We demonstrate the role played by a Feynman-Kac version of the Duncan-Mortensen-Zakai (DMZ) stochastic partial differential equation in making decisions. The question of performance is addressed by relating Chernoff bounds to this Feynman-Kac stochastic equation. Second, we examine in detail the behaviour of our calculations, in the limit as the covariances of the random inputs tend to zero. The procedure employs large deviations techniques. This approach enables us to establish relations between stochastic and deterministic methods in tackling the binary decision problem. The latter reveals a natural formulation of the binary decision problem in terms of an H∞-disturbance attenuation framework.en
dc.sourceProceedings of the IEEE Conference on Decision and Controlen
dc.sourceProceedings of the IEEE Conference on Decision and Controlen
dc.subjectMathematical modelsen
dc.subjectDecision makingen
dc.subjectComputational methodsen
dc.subjectRandom processesen
dc.subjectParameter estimationen
dc.subjectError analysisen
dc.subjectControl system analysisen
dc.subjectPartial differential equationsen
dc.subjectWhite noiseen
dc.subjectSignal filtering and predictionen
dc.subjectFeynman-kac stochastic equationen
dc.subjectRisk sensitive cost criterionen
dc.titleCertain results concerning filtering and control of diffusions in small white noiseen
dc.description.endingpage2778Πολυτεχνική Σχολή / Faculty of EngineeringΤμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering
dc.type.uhtypeConference Objecten
dc.contributor.orcidCharalambous, Charalambos D. [0000-0002-2168-0231]

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