Risk sensitive nonlinear filtering with correlated noises (Q1972453)

This paper deals with nonlinear filtering with correlated noise. For the signal-observation pair with correlated noise the author introduced the exponential process of the signal and considered its filtering with respect to the observation. As the filtering equation, he computed the risk-sensitive Zakai and Kushner-Stratonovitch equations. Moreover, an explicit solution is given in the linear exponential quadratic Gaussian case.