Risk-sensitive filtering and smoothing for continuous-time Markov processes
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Authors
Malcolm, W Paul
Elliott, Robert J
James, Matthew
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Institute of Electrical and Electronics Engineers (IEEE Inc)
Abstract
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
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IEEE Transactions on Information Theory