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11

CDC
2009
IEEE

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On the linear-exponential filtering problem for general Gaussian processes

13 years 8 months ago

On the linear-exponential filtering problem for general Gaussian processes

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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 filtering problem which is used in the proof. Closed form equations of Ito-Volterra and Riccati-Volterra type for these ingredients are provided. Particular cases for which the results can be further elaborated are investigated. Author for correspondence. Fax: +33 2 43 83 35 79. 1

Marina L. Kleptsyna, Alain Le Breton, Michel Viot

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CDC 2009 | Conditional Cameron-martin Type | Conditional Expectations | Control Systems | Filtering Problem |

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Added	12 Aug 2010
Updated	12 Aug 2010
Type	Conference
Year	2009
Where	CDC
Authors	Marina L. Kleptsyna, Alain Le Breton, Michel Viot

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