IEEE - Institute of Electrical and Electronics Engineers, Inc. - On the linear-exponential filtering problem for general Gaussian processes

2009 Joint 48th IEEE Conference on Decision and Control (CDC) and 28th Chinese Control Conference (CCC)

Author(s): Kleptsyna, M.L. ; Le Breton, A. ; Viot, M.
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2009
Conference Location: Shanghai, China, China
Conference Date: 15 December 2009
Page(s): 2,646 - 2,651
ISBN (CD): 978-1-4244-3872-3
ISBN (Paper): 978-1-4244-3871-6
ISSN (CD): 0191-2216
ISSN (Paper): 0191-2216
DOI: 10.1109/CDC.2009.5400249
Regular:

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.... View More

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