Title :
Risk sensitive filtering equations in infinite dimensional spaces with counting observation
Author :
Florchinger, Patrick
Abstract :
The purpose of this paper is to compute the risk-sensitive filtering equations when the state process, given as the solution of a stochastic differential equation on an infinite dimensional Hilbert space, is observed through a counting observation
Keywords :
Hilbert spaces; filtering theory; multidimensional systems; observers; counting observation; infinite dimensional Hilbert space; infinite dimensional spaces; risk sensitive filtering equations; stochastic differential equation; Differential equations; Filtering; Filtration; Hilbert space; Integral equations; Nonlinear filters; Q measurement; Stochastic processes; Stochastic systems; Yttrium;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2001.914573
