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Article Dans Une Revue Systems and Control Letters Année : 2010

Risk Sensitive and LEG filtering problems are not equivalent

Résumé

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.

Dates et versions

hal-00853130 , version 1 (22-08-2013)

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Marina L. Kleptsyna, Alain Le Breton, Michel Viot. Risk Sensitive and LEG filtering problems are not equivalent. Systems and Control Letters, 2010, 59 (8), pp.484-490. ⟨10.1016/j.sysconle.2010.06.009⟩. ⟨hal-00853130⟩
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