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Communication Dans Un Congrès Année : 2009

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.
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Dates et versions

hal-00853917 , version 1 (24-08-2013)

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Marina L. Kleptsyna, Alain Le Breton, Michel Viot. On the linear-exponential filtering problem for general Gaussian processes. CDC 2009 - 48th IEEE Conference on Decision and Control, Dec 2009, Shanghai, China. pp.2646-2651, ⟨10.1109/CDC.2009.5400249⟩. ⟨hal-00853917⟩
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