Filtering problems with exponential criteria for general Gaussian signals

zbMath1296.93193arXiv0908.2960MaRDI QIDQ3190954

M. Viot, Alain Le Breton, Marina Kleptsyna

Publication date: 19 September 2014

Full work available at URL: https://arxiv.org/abs/0908.2960

zbMATH Keywords

Gaussian processoptimal filteringfiltering errorRiccati-Volterra equationexponential criteriarisk-sensitive filtering

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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