About Gaussian filtering problems with general exponential quadratic criteria

Details About Gaussian filtering problems with general exponential quadratic criteria About Gaussian filtering problems with general exponential quadratic criteria

2009-02-05

arxiv.org/abs/0902.0940v1

Mathematics

Probability

Scientific paper

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.

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