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Risk-sensitive filtering and smoothing for continuous-time Markov processes

Malcolm, W Paul; Elliott, Robert J; James, Matthew


We consider risk sensitive filtering and smoothing for a dynamical system whose output is a vector process in ℝ2. The components of the observation process are a Markov process observed through a Brownian motion and a Markov process observed through a P

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
Source: IEEE Transactions on Information Theory
DOI: 10.1109/TIT.2005.846405


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