About Gaussian filtering problems with general exponential quadratic criteria
Probability
2009-02-06 v1
Abstract
Filtering problems with general exponential quadratic criteria are investigated for Gauss-Markov processes. In this setting, the Linear Exponential Gaussian and Risk-Sensitive filtering problems are solved and it is shown that they may have different solutions.
Keywords
Cite
@article{arxiv.0902.0940,
title = {About Gaussian filtering problems with general exponential quadratic criteria},
author = {M. L. Keptsyna and A. Le Breton and M. Viot},
journal= {arXiv preprint arXiv:0902.0940},
year = {2009}
}