Finite-dimensional solutions of a modified Zakai equation

DOI10.1007/BF01211855zbMath0874.93097MaRDI QIDQ1356627

Robert J. Elliott, Václav E. Beneš

Publication date: 13 November 1997

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

zbMATH Keywords

finite-dimensional filtersZakai equationsnonlinear driftexponential risk-sensitive control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric ⋮ Finite- dimensional optimal controllers for nonlinear plants

Cites Work

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• A Finite-Dimensional Risk-Sensitive Control Problem
• General finite-dimensional risk-sensitive problems and small noise limits
• Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games

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