Robust limits of risk sensitive nonlinear filters

DOI10.1007/PL00009879zbMath0995.93070MaRDI QIDQ5943904

William M. McEneaney, Wendell H. Fleming

Publication date: 17 October 2002

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

zbMATH Keywords

nonlinear filtersviscosity solutionHamilton-Jacobi-Bellman equations\(H_\infty\) filteringminimax filterrisk sensitive filterrobust filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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