On the Linear-Exponential Filtering Problem for General Gaussian Processes

DOI10.1137/070705908zbMath1191.60044OpenAlexW2161814761MaRDI QIDQ3648547

M. Viot, Marina Kleptsyna, Alain Le Breton

Publication date: 27 November 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/070705908

zbMATH Keywords

Gaussian processoptimal filteringexponential criteriaRiccati-Volterra equation, risk- sensitive filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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