Title of article :
Risk sensitive nonlinear filtering with correlated noises
Original Research Article
Author/Authors :
P. Florchinger، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
The purpose of this note is to compute risk-sensitive Zakai and Kushne-Stratonovitch equations for partially observed systems with correlated noises. These equations are explicitly solved in the linear exponential quadratic Gaussian case.
Keywords :
Stochastic partial differential equation , Stochastic differential equation , Risk-sensitive filtering , Nonlinear filtering
Journal title :
Applied Mathematics Letters
Journal title :
Applied Mathematics Letters
