New finite-dimensional risk-sensitive filters: Small noise limits

被引：4
作者：
Charalambous, CD
Dey, S
Elliott, RJ
机构：
[1] McGill Univ, Dept Elect Engn, Montreal, PQ H3A 2A7, Canada
[2] Australian Natl Univ, Res Sch Informat Sci & Engn, Dept Syst Engn, Canberra, ACT 0200, Australia
[3] Univ Alberta, Dept Math Sci, Edmonton, AB T6G 2G1, Canada
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1998年 / 43卷 / 10期
基金：
加拿大自然科学与工程研究理事会;
关键词：
filtering; finite-dimensional; risk-sensitive;
D O I：
10.1109/9.720499
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
引用
收藏
页码：1424 / 1429
页数：6
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