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Risk Sensitive Filtering with Poisson Process Observations

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

Description

In this paper we consider risk sensitive filtering for Poisson process observations. Risk sensitive filtering is a type of robust filtering which offers performance benefits in the presence of uncertainties. We derive a risk sensitive filter for a stochastic system where the signal variable had dynamics described by a diffusion equation and determines the rate function for an observation process. The filtering equations are stochastic integral equations. Computer simulations are presented to...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
URI: http://hdl.handle.net/1885/89950
Source: Applied Mathematics and Optimization

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