On the linear-exponential filtering problem for general Gaussian processes
Résumé
The explicit solution of the filtering problem with exponential criteria for a general Gaussian signal is obtained through an approach which is based on a conditional Cameron-Martin-type formula. This key formula is derived for conditional expectations of exponentials of some quadratic functionals of a general continuous Gaussian process. The formula involves conditional expectations and conditional covariances in some auxiliary optimal risk-neutral filtering problem which is used in the proof. Closed form equations of the Itô-Volterra- and Riccati-Volterra-types for these ingredients are provided. Particular cases for which the results can be further elaborated are investigated.