Risk sensitive filtering with Poisson process observations

DOI10.1007/S002459910020zbMath0951.60048OpenAlexW2003553519MaRDI QIDQ1568193

N. Delaunay

Publication date: 18 December 2000

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002459910020

zbMATH Keywords

robustnessfilteringpoint processesmartingale calculuschange measurerisk sensitive

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

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